Not across the system, though. It only works in Safari. For system ad-blocking, the easiest option is via DNS based Ad-blocker services like Adguard Pro or Adblock (both are paid apps and available on the App Store).
There's also the VPN option. PIA, for example, comes with its own system ad-blocker (MACE) although it's nowhere as good as Adguard Pro (which allows you to use custom DNS server).