I'm confused... Do you mean on a connection flight?

When you use the multi-city search, that's mainly for when you're flying in to one city but returning through another (ATL-SAN, returning on LAX-ATL) or when you have to go to a few different cities on the same trip (ATL-JFK on Monday, JFK-SEA on Tuesday, SEA-ATL on Wednesday). In either of those cases, yes, your luggage will go to that day's destination, even if you transfer in a hub along the way.

If you're connecting through a hub (even if it's a three segment trip) your luggage still goes straight on through.

The only exception to this is when you TRANSFER from an international flight to a domestic flight. When traveling LHR-ATL-CVG for example, my bags will be on a carousel in ATL, where I'll have to recheck them (drag over to a different conveyor belt really) through to CVG.