Blender has the option to render multi-layer EXR files, however, there are a few gotchas that you need to know about and a few workflow changes that can make life much easier in Nuke (or the compositing application of choice).
This series of videos by Helge Maus for their Pixeltrain YouTube channel thoroughly covers the topic and provides you comprehensive set of solutions for rendering multi-layer EXRs from Blender.
Helge also has a Patreon where you can download the setup files for these videos and other Blender, Nuke and 3D / VFX related projects.