I'm desperately trying to achieve the same thing.
I not going to go down the iframe route as 1) My site is responsive and won't like set iframe size and 2) I would rather no url of the originating site in the source.
I've seen you can connect to the 2nd sites' database using:
$newdb = new wpdb($DB_USER, $DB_PASSWORD, $DB_NAME, $DB_HOST);
Site A has the plugin running with a form capturing data
Site B has the plugin running but I need the datatable on this site with data pulled in from the Site A Database.
I know Gravity Forms has this ability with an extra add-on but I quite like CFDB so if there's a way to do this using this plugin, it would be more favoured.