I wouldn't say normal, but it is possible. The buildings are completely destructable, so your shots can pass through wood or brick and still hit your enemies. You can't shoot through steel doors though.

I still remember my first time playing Silent Storm. There was an enemy shooting at my team through a small hole in the ceiling. I used my heavy machine gunner to turn the small hole into a big one. The enemy was killed, slumped down, and slowly fell through the ceiling to the floor below.

It's the important part of gameplay and tactical opportunity. Shooting through walls and ceilings is crucial for CQB in this game.

There's a sniper ability called "shoot through cover" which makes shooting thhrough walls 100% more effective. So yes, its normal