In the US, all arriving international passengers must go through customs and immigration. they then go back through security to the gates. If the passenger decides to leave the terminal, they simply walk back out, because they have already been cleared.

How does this work in other countries? I have not transferred in another country before. Say for LHR - if you were then flying on to say Delhi - would you still clear customs and immigration in London? If not, how do they secure those passengers while waiting for their next flight?