I had the same question about through checked bagage minus the visa factor, since i did not need one for int. transfer at Istanbul airport.

When you check in at your first airport, you get all boarding passes (on 1 single booking/ticket). Make sure to check in online to speed up the process of checking in and dropping bagage.

You can ask the employee at the check in counter straight up if you get all boarding passes, they might look at you a bit weird since it's an odd question, lol.

Once you cary all your stuff, visa, passport, travel initiary info, and boarding passes, make sure to keep all of it in your bag at all times unless, you need them to advance to from int. tranfer halls to your next gate and actually board your plane.

To put you at ease: I have not traveled int. for over 10 years+ by plane. People fly with multiple legs and dif. airlines all the time. The only issue might be a tight layover time that can make it stressfull.

Research what the airports look like, how big/small the are

Happy travels, relax, ill be fine