Hi,
Yes, but only if you are using Visual Studio to build the projects and both projects are included in the .sln file and selected for build.
BTW, if you are planning to do remote builds, the VisualGDB MSBuild backend actually generates temporary Makefiles (this reduces latency compared to running each compiler instance separately from the Windows side), so you can copy them manually to your Linux target and build them without VisualGDB as well. This only applies for remotely build projects though.