Strong external difference family (SEDF) and its generalizations GSEDF, BGSEDF in a finite abelian group $G$ are combinatorial designs raised by Paterson and Stinson [7] in 2016 and have applications in communication theory to construct optimal strong algebraic manipulation detection codes. In this paper we firstly present some general constructions of these combinatorial designs by using difference sets and partial difference sets in $G$. Then, as applications of the general constructions, we construct series of SEDF, GSEDF and BGSEDF in finite fields by using cyclotomic classes.