Originally Posted by MSPeconomist

The above answer assumes that you have a single ticket either on one alliance/carrier or using carriers that interline. For example, if you were flying Southwest and then Delta, you would indeed need to reclaim the bag at the transfer airport and then recheck it yourself with the second airline. If you have two tickets within the same alliance, you probably can check the bag through, but you need to show printouts of the other itinerary and ticket receipt when you check in for the first flight.