That’s illegal in most places, mostly due to wildlife laws aimed at avoiding unnatural movement of populations and diseases. I think most places allow it if the movement is very local, like within the county at a distance that the animal could have travelled on its own.
Personally I’m very fond of my squirrels and my cats love watching them too. We have several trained to take nuts out of our hands, and a few years back, one of the dear little critters had gotten so confident about the idea that creatures emerging from the back door of my house give nuts, that he tried — repeatedly — to get my elderly cat to give him one. Poor kitty was very confused, and finally took a half-hearted swat at the equally confused squirrel, and the disillusioned squirrel scampered off wondering what had become of the world he thought he understood. I lured him back and gave him a nut a minute or so later. I *think* he finally figured out that only *big* creatures emerging from the back of my house give nuts. These concepts are challenging when you’ve got a brain the size of a pea :-)
Squirrels are quite clever at figuring out how to get past obstacles to get to food, as I have found trying to keep them off my bird feeder. They will keep trying different attacks until something works.
I didn't really mind feeding the squirrels, but they were cleaning out my feeder 4 times a day, where for the birds, a filling would last 4 days. At one point, before they started disappearing, I looked out and there were eleven of them waiting in line to eat bird seed.
They were very patient waiting to take their turn to steal my seed. I never saw them fussing or fighting.