When you purchase a connecting flight, checked baggage is usually forwarded to your final destination, and will change planes when you do. The agent at check-in will usually ask if you want your luggage checked through to your last stop.
Do checked bags go all the way to destination?
If you have purchased a connecting flight, you will find that most often, your checked baggage will be taken care of, and will be moved from your first plane to your second plane. If you are not asked at check-in, you should check that they will check your luggage through to your last stop.