Players on Steam can play with players on the Epic Games Store, this is how: 

Steam-user:

Step 1: Create an Epic Games account (if you don’t have one already) 

Step 2: Install the Epic Games launcher

Step 3: Sign in to the Epic Games launcher with your Epic Games account 

Step 4: Add the people you want to play with as friends to your Epic account 

Step 5: Link your Steam Account to your Epic Games account (important!) 

Step 6: Launch the game via Steam 

Step 7: Press the “Friends” button in the main menu 

Step 8: If you completed 1-7 successfully you should now see any friends playing on “Epic Games Store” in the friends list (if they are online and have started the game)

Step 9: Invite the friends you want to play with to a party

Step 10: Press “New Game” or continue to start playing together!  

A note on save files (Steam + Epic)

Save files are stored on your PC whenever you play Goat Simulator 3 via the Epic Games Store or on Steam. The save file location is shared between these two versions. Because save files are shared between the two versions of the game you do not need to move any save files if you change which version you are playing on. You should just be able to pick up where you left off.
However; We recommend that users stick to one version of the game on a given device and do not move back and forth between the two too much. Both the Epic Games Store and Steam support syncing save files via their “cloud save” functionality and so the interplay between these systems can lead to the loss of game progress – If you move back and forth a lot between the two versions of the game.