Oh, I think so. At least, I think they can. I was concerned about this when my children were small, age 3 or 4. So when we watched Sesame Street and other shows together, I often asked them questions like “Which of those are real people and which are make-believe?” “Do you think Big Bird is real?” “Could that really happen? Could someone really do what that character just did?”
We often said things like “That’s not really a <whatever.> That’s just a guy in a <whatever> costume.” (As a side note, I was also careful to make sure they knew how to recognize a bad guy: a real bad guy isn’t somebody in a bad guy suit. You can tell a real bad person by what he or she does. If someone takes your bike and tells you to get in their car or they won’t give it back, that’s a bad guy.)
I found that my young children were seldom actually confused about what was real. They could get thoroughly into the spirit of make-believe, but they knew that the laws of the world they lived in were somehow suspended in fantasy places like storybooks and TV shows. I was happy for them to enjoy pretending, and I pretended right along with them, but I wanted to know they could exercise their powers of discrimination as well.
I remember reading in several places that many adults were unclear about the reality of what they saw in entertainment media. One actor who played a villain on TV was frequently treated as a criminal when he was seen in public. This baffles me, but I think it’s an important fact to remember in a time when most people get their view of the world from audiovisual media.