Gonzalez-Acuña and Whitten answered this question for coverings by knot exteriors, as opposed to link exteriors more generally, in chapter 3 of "Imbeddings of three-manifold groups". They prove that a covering between two knot exteriors must be a regular cyclic covering (corollary 3.2) and then conclude (modulo geometrization):
Theorem 3.4(1). If you have an $n$-fold cover $E_J \to E_K$ ($n\geq 2$) between the exteriors of knots $J$ and $K$ in $S^3$, where $J$ is nontrivial and $K$ is not a torus knot, then either $n$-surgery or $-n$-surgery on $K$ is a lens space. (The torus knot case corresponds to lens space surgeries in a similar way, but the slope need not be integral. In any case torus knot exteriors are Seifert fibered, so any knot exteriors covering them must again be Seifert fibered and hence torus knot exteriors.)
The converse direction is easier to see: suppose that the $n$-surgery $S^3_n(K)$ is a lens space. The $n$-fold cyclic cover of $S^3_n(K)$ is $S^3$, and the core $\tilde{K} \subset S^3_n(K)$ of the surgery lifts in that cover to a knot $J$; then the exterior $E_J$ is the $n$-fold cyclic cover of the exterior of $\tilde{K}$, which is the same as $E_K$.
Anyway, this theorem gives strong restrictions on coverings of $E_K$ specifically by knot exteriors, because we know via Heegaard Floer homology that relatively few knots admit lens space surgeries: $K$ must be fibered, either $K$ or its mirror must be strongly quasipositive, it must have the same knot Floer homology as a Berge knot, and so on. It also restricts the value of $n$: for example we must have $n \geq 2g(K)-1$, and $n$ cannot be $2,3,4$ because no nontrivial knots admit lens space surgeries of these orders.