Baggage during a layover: when it's transferred automatically
With a single ticket, baggage almost always arrives checked through to final destination, with one systematic exception: at every first arrival in the United States it must still be collected and resubmitted to customs, even on a connection.
Single ticket or separate bookings: the difference that matters
With a single ticket, even on different airlines under an interline agreement, baggage is generally checked through to final destination and the passenger does not see it until arrival. With separate tickets for the same overall itinerary, instead, it almost always must be collected and resubmitted at check-in for the next flight, an operation that requires additional time to factor into the connection margin.
The exception of the United States and first customs entry
Even with a single ticket, first arrival in the United States requires collecting baggage, passing customs, and resubmitting it at the interline counter before the next flight, because of the CBP border control that does not allow a sterile transit area. Some airlines, like Delta, are experimenting in some airports with a system that eliminates this double handling, but it remains a limited exception and not generalizable.
Tracking baggage during transit
Keeping the receipt with the tracking code on the baggage label allows you to independently verify, via the airline's app or website, where your baggage is during transit. It is also worth finding out what to do in case of baggage not transferred by the time of the next flight, so you can react immediately instead of discovering it only at destination.
At initial check-in, explicitly ask where your baggage is tagged to: if the answer is final destination but the transit is in the United States, you will still have to collect it on first arrival, pass customs, and recheck it before your next flight.
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