Can I use Apple Pencil with my new iPhone 16 Pro Max?

no, it require special display hardware which only some ipads have and no iphone have

the page of the pencils list which devices are compatible Apple Pencil - Apple

for iphones and non supported ipads one can still use passive Amazon.com : captive stylus

There are non-Apple third-party capacitive pencils that could potentially be used. However, they lack the full features of the Apple Pencil.

They include:

• Adonit Note+
• Adonit Pro 4
• Wacom Bamboo Stylus