Yes. Your bags will usually be checked-in all the way to the final destination on your airline booking, as per normal.
However, you must conform with local regulations in the normal way. For instance when connecting through an airport in the United States, you will usually be required to collect your bags at the reclaim area, clear Customs, and place your bags on the transfer belt. If this self-transfer is required, you should be informed by your airline when you land.