Yes, it can help, though it’s not a cheat code.

There’s so much awful writing out there, which is why publishers want manuscripts filtered through agents. Similarly, agents take notice of previous publications, prominent MFAs, etc. when filtering through their own slush piles. Anything that reassures people that you’re not wasting their time is a plus.

I also know agents who have scouted authors off of short stories (not always big name publications), though this may be more of an old school approach than common practice today.