Yes, you can. There is a host of rich UV unwrapping tools in 3ds Max, that lets you mark out seams, do pelt mapping, and a bunch of other things. Look at the “Unwrap UVW” modifier and search tutorials for each feature online (or read the manual – it actually explains how to use it, but not everyone learns well from text.)
So, typically, you’d model all the objects, and attach them all together, first. Then you’d apply a “Unwrap UVW” modifier, and texture map it in whatever way you want.
Also, make sure you understand the “Multi/Sub Material” in Max. When you have a single mesh, but need multiple materials, the multi/sub is “the” material, and each other material plugs into a slot in that; you then select material ID per face in the mesh.