Ya, I live in a more restricted state and have purchased a handgun from out of state. It goes to a firearm dealer and they transfer it to you after doing whatever background checks your state requires. The gun isn’t sold to the dealer, they just hold it while everything clears. I don’t know anything about interstate private sales though.
One fun fact though is that you can buy an M1 Garand from the government and they’ll ship it to your door. So that’s pretty neat.