For macOS Catalina (10.15.6) and Big Sur (11.0) Karabiner Elements can help with this, as posted by Jeremy Blalock.
There is no explicit setting for it, as stated by chrismarx, but in Karabiner Elements->Devices, ensure "Modify Events" is checked for all your keyboards/devices that you wish to share modifier keys for, as posted by Digicrat.
When you like this solution, please consider donating something to the authors of Karabiner as requested by GenericJam.
If you need a solution for macOS Sierra (10.12) till Catalina (10.15), you can try an older version of Karabiner Elements as provided on their Github repository. v12.10.0 is latest with support for 10.12 till 10.14.
Let's see if this answer is found if I put the search terms of blast_hardcheese in this answer: modifier keys on one keyboard doesn't change other keyboard
Disclaimer: I'm not involved in developing Karabiner Elements and not using it to combine multiple keyboards. The external keyboard I had broke because of battery leaks and I've never bought a new one. I just updated this answer after getting yet another upvote on it (thanks upvoters!).
I know I'm gravedigging here, but I think I've the solution for you. It's called Karabiner.
I've a Belkin Yourtype Wireless Keyboard and I wanted to use that one combined with the keyboard of my Macbook pro, and by just installing Karabiner I'm able to do that.
This is possible since one of the implicit functions of Karabiner is to share modifier keys over multiple keyboards:
Share state of modifier keys with all connected keyboards:
When you are using multiple keyboards, modifier keys are shared with all
For example, pressing "shift key on keyboard1" and "space
key on keyboard2" sends shift-space.