Baggage allowance of separate domestic flights with a connecting international flight?

All that can be said is that according to 14 CFR 399.87 which went into effect in 2012, baggage rules and fees of the originating carrier apply for the entire itinerary, and in the case of codeshares, it is the rules of the marketing carrier that apply (this is notable as the operating carrier prevails in most other areas).

American, United, and Delta have policies that state that if you are flying them and your itinerary includes an intercontinental segment (not necessarily international), the baggage allowances and fees for the intercontinental segment apply to the entire itinerary. For example, if flying UA ORD-DEN-LAX-NRT, the baggage rules for LAX-NRT would also apply for ORD-DEN and DEN-LAX.

But it is impossible to say what applies in your case without knowing a great deal more in detail: how is your journey constructed and ticketed, in what class of service are you flying on each segment and what is your frequent flyer elite status level, what are your origination/connection/destination points, and so on. In the above example, you would be charged differently if you have a stopover (>24hr) in DEN as opposed to a layover, or if your ORD-DEN were a codeshare ticketed on US Airways, or operated by American Airlines but ticketed on United stock, or if you purchased ORD-DEN-LAX and LAX-NRT on separate tickets, and so on.

Yeah, the rules have just changed for this and it is indeed the originating carrier's rules that applies. As always, check with the originating carrier before you pack all your stuff and head to the airport.

Note: Baggage rules differ by airline and point of origin, connecting country and destination.

Mainly who organizes this stuff is the IATA and they have issued Resolution 302 (ABR) however not all of the airlines are committing to this rules yet, around 70%. So if it were me I'd check with the operating carrier and apply the most restrictive allowance to minimize the risk. Also what can be done is to check-in online and see the allowance they would give on the website if you'd prepay for your baggage online.

There is a bit of grey area

In my flight (as the original poster) the baggage allownce of our originating flight which was domestic flight to new york, did not apply. In fact they allowed us our international flight allowance even though our first flight was domestic and it was purchased separately.

The exact procedure was like this. We were directed to seperate line where people had issues with their tickets. This was a long line also, typically of people who had connecting flights. We showed them our domestic flight as well as international flight tickets (printouts). They told use we can check in 2 bags. We did not even ask for it. We were sure we have to pay the extra fee for all the four bags. It was a good gesture from Carrier.

I think it might be dependent on the destination as well. For european destination, this rule might not apply but then I am not sure about that. The fact is this rule is not clearly defined.