On most connections booked on a single ticket, the airline tags your checked bags to your final destination and moves them to the next flight for you, so you do not handle them during the layover. The main exception is arriving in the United States from abroad. According to San Francisco International Airport, all international arrivals, regardless of connection status, must claim their bags after immigration, take them through customs, and then recheck them at a baggage desk before going through TSA security again.
Passengers on flights that were precleared by U.S. Customs and Border Protection before departure skip that inspection on arrival. If a bag is not tagged to its final destination, for example on separately booked tickets, SFO says to take it to your airline’s ticket counter to recheck it. For an international-to-domestic connection, SFO recommends allowing at least 2 to 3 hours to clear immigration and customs, recheck luggage, and pass security.
Source: San Francisco International Airport, “Connecting Flights FAQ”.
Image: Baggage claim at Los Angeles International Airport, by Ptrump16. CC BY-SA 4.0, via Wikimedia Commons.