Sure, no problem:
CREATE TABLE dbo.[User]
(
Id int NOT NULL IDENTITY PRIMARY KEY,
Name nvarchar(1024) NOT NULL
);
CREATE TABLE [Group]
(
Id int NOT NULL IDENTITY PRIMARY KEY,
Name nvarchar(1024) NOT NULL
);
CREATE TABLE [UserToGroup]
(
UserId int NOT NULL,
GroupId int NOT NULL,
PRIMARY KEY CLUSTERED ( UserId, GroupId ),
FOREIGN KEY ( UserId ) REFERENCES [User] ( Id ) ON UPDATE NO ACTION ON DELETE CASCADE,
FOREIGN KEY ( GroupId ) REFERENCES [Group] ( Id ) ON UPDATE NO ACTION ON DELETE CASCADE
);
This is quite commonly used to model many-to-many relations.
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