Not quite. It depends if the airport of destination is "international" or not, that is to say if there are customs officers in this airport or if the domestic terminal is fully separate from the international one.

For example Thailand : I remember collecting my bags in Chiang Mai after a transit in BKK, but this would not be possible in other local airports.

Other example: Perth or Sydney with separate domestic and international terminals for both departure and arrival, so you must clear immigration and customs before taking your next flight. It must be the same in other Australian capital cities.