You can hang your luggage directly to Shanghai at Cincinnati (North KFC) Airport and get two Boarding Pass for Chicago and Shanghai. You don't need to bring your luggage to Chicago, and you can't get it. After getting off the plane in Chicago, look at the screen and find the boarding gate of your Shanghai flight. Just walk away. Probably in the same terminal. There are no formalities for leaving the United States. If you ever filled out the I-94 form when you entered the United States, you should have a yellow bottom part nailed to your passport. At the boarding gate to Shanghai, the airline will take it back. If you arrived in the United States after July 213, you may not have an I-94. When you left China and arrived in the United States, you got your luggage at the first stop, went through the customs, and then handed it over to the staff because when you entered a country at the first stop, you had to go through the border control (immigration) to check your passport and visa, and then you got your luggage and checked the materials. If you need to transfer to Cincinnati, where will your luggage be delivered? When you return to China, you will only enter China in Shanghai. At that time, you must pass through China to check your passport, and your luggage must be put through the customs. Therefore, luggage usually has to be checked at the first stop of a country.