This was definitely true with HTTP 1.0 (that limited the amount of simultaneous connections from the same source) but it may not be the case anymore with HTTP 2.0 (that removed this limitation). In fact, now, using CDNs may be actually slower.

P. S.: Important to say, HTTP 2.0 is not automatically supported in all cases: it depends on the server to support it, on having a secure connection (HTTPS) and a newer browser (https://caniuse.com/http2).