I've always been curious about this. How can I try it out if I already own a GPU?
Here is a nice comparison of the eGPU enclosures available today: https://egpu.io/external-gpu-buyers-guide-2018/
My personal recommendations are the Akitio Node Standard/Pro or Sonnet Breakaway Box 350/550/650. These companies are reputable companies in the Thunderbolt hardware realm.
Note that I am not affiliated with any of the companies mentioned above.
However, as seen here [1], people have managed to use other GPU cases, with NVidia cards.