Good link by Eero, but the short answer is yes:
-ST OUT to instrument 1 IN:
-Instrument 1 THRU to instrument 2 IN:
-instrument 2 THRU to instrument 3 IN:
In hardware terms that is the simplest way to do it using equipment you probably already have.
However, the drawback with this method is that each instrument in the chain introduces a slight propagation delay so that by the time the information gets through to instrument 2, the notes may be arriving noticeably 'late'. The hardware solution to that problem is to use a MIDI buffer box with one input and (at least three) outputs - what these do is to take the MIDI data stream input from the ST and buffer and simultaneously transmit the same information out of every MIDI out port at the same time. That's your answer in hardware terms.
In control terms, to get each instrument to play only its part and not the others needs some extra work:
-Put each instrument on its own track.
-Set the MIDI output channel for each track to a different value, for example, arrange for instrument 1's track to transmit on MIDI channel 1, instrument 2's track to transmit on MIDI channel 2, and instrument 3's track to transmit on MIDI channel 3.
-Set the 'Program Change' parameter for each track so that it automatically selects the sound you want that track to play
-Set each instrument (1,2,3) so that it only responds to information sent on the appropriate midi channel (1,2,3).
If you need more specific help, then perhaps you can let us know which sequencer software you are using on the ST, and which specific instruments you are trying to use it with.
And is the composition you are working with something you made yourself, or is it an existing MIDI file from a wider source such as the internet?