When you purchase a connecting flight, checked baggage is usually forwarded to your final destination, and will change planes when you do. The agent at check-in will usually ask if you want your luggage checked through to your last stop.

Whether you need to pick up your luggage during a layover depends on your itinerary and the laws of the country you are transiting through. For domestic-to-domestic connections on a single ticket, your bags are almost always checked through to your final destination. However, for international-to-domestic connections (especially in the USA, Canada, and Australia), you must typically collect your bags after clearing immigration, pass through customs with them, and then place them on a "re-check" belt. In the European Schengen Area, if you arrive from outside the zone and connect to another Schengen city, your bags usually go through to the end, but you must clear passport control. If you have "self-transfer" or booked two separate tickets on different airlines, you must collect your bags, exit the secure area, and check them in again for the second flight. Always confirm with the check-in agent at your origin and look at the luggage tag; if it shows the final destination airport code, you likely won't see it until the end, unless local customs laws dictate otherwise.