I have booked a flight IST-HKT-BKK-HKG with single PNR. The first leg operated by Turkish airline and the other 2 are Thai airway.
So where should i take my baggage？
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I'd take it to the Turkish Airline desk and check it in there. Since all your flights have the same PNR the airlines should route it appropriately.
If in doubt you can always ask for confirmation at the Turkish Airlines desk.