One time I had to check a bag for 5 segments but on just one airline: LGA-ATL-MSY-DFW-CVG-CAK
The agent said I had to pick up the bags at CVG and check them in again (apparently a limit of four segments per tag). Luckily I had booked a long layover at CVG, because it took a while to get the oversize bag, check it again while in the middle of the itinerary, and have the TSA paw through it.