Luggage and seperate airlines and tickets in same airport

So, in my infinate wisdom, I thought it would be a good idea for travel time, flight and airline options to buy tickets from a major hub airport (Denver) to my final destiantion (Jamaica). The problem is I live in a non major hub location and need to fly into Denver first. Since I did not book the trip on the same airline from home to denver as denver to Jamaica, am I correct in assuming I need to pick up my luggage as if Denver was my final destiation and then go back to the next airline and check it back in (and pay more luggage fees!!!) for the Jamaica leg, or can the airlines/airport facilitate moving my luggage from one airline to another?