I have done something similar: on a FRA-ATL-DFW flight I had all carry-on at the start, but purchased a bottle of liquor at a duty free store in FRA. It was fine to bring on the FRA-ATL A/C, but after going through customs in ATL was unable to get back through security (more than 3 oz! ).

I was able to check the bag in ATL and it arrived in DFW with me with no issue.

I'd check with the airline in advance to be sure it won't be a problem.