Yes, you have to load it from the existing file.
Take care, a different baseline grid can cause differences.
If you make a Book (.indb) file from the InDesign documents, you can identify one of those documents as the Style Source and in your Sychronize options, choose to synchronize Master Pages. As Willi points out, be careful—you could end up with more than you bargained for.
While you can't place a master page from a separate InDesign file into a new InDesign master page, you can use the Content Collector tool to collect the master page elements and place them into the new file master page as a link. Any changes to the original master page will update all of the placed instances on the new master pages (and new pages where the master has been applied). You can copy/paste the elements from the new master page onto new files and the placed elements will retain the link to the original InDesign master page.
Thanks for reaching out. In addition to the wonderful suggestions given earlier, I'd recommend checking out help article https://helpx.adobe.com/in/indesign/using/master-pages.html
Hope it helps.