Can Somebody travel with their gun internationally?

What makes you think that because you have a permit to own a gun in the US means you can carry that gun in other countries? You can't, you'd need a permit from that other country.
And if you're transiting 3rd countries, you may need a permit from all those countries as well (depending on the local law there, and how you're transiting).

Karlson already listed the limitations one airline places on carrying guns as luggage, but that's only the transport partner. It doesn't mean a thing that they allow you to check it (under certain conditions) if you're ending up arrested and thrown in prison (and the weapon confiscated of course) the moment you try to pass through customs, does it?
And in many countries (maybe even most) that's exactly what will happen because they won't recognise your US permit, and have very strict weapons laws with very severe penalties.
Take the Netherlands, where you can't get a permit to own a gun unless you're a resident and have been a member in good standing of a shooting range for over a year (and then only IF you pass the very strict background checks and agree to near permanent police scrutiny on your person). And even then you're not allowed to carry that weapon with you, let alone store it on your own premises, it must be stored on the grounds of that club for another 5 years before you can apply for a permit to store it at home (with more checks, more scrutiny including granting police the right to enter your property without a search warrant at any time they wish and confiscate the weapon whenever they feel like it), and THAT doesn't include a license to transport the weapon, which needs to be applied for separately for each route you're planning to transport it.
And you think you're allowed to just walk around with your gun in your pocket because you have a US CCW?

Of course the law in Bangladesh may be a lot more lax, but I doubt they'll just let you bring a foreign gun into the country and not raise an eyebrow.

To start things off - any license or permit you may have in the US is only valid within the US (and depending on the permit, within a specific state only); there is no "international" license/permit for firearms (of any type).

You are not allowed to import firearms (of any kind) into Bangladesh.

See IATA Guidelines; and this page has more comprehensive information, including a list that includes all prohibited items:

Prohibited

• Illegal drugs
• Arms, explosives and ammunition
• Knives and deadly weapons
• [ ... others redacted for brevity ... ]

If you are worried about your safety to such a degree that you feel the need to carry a firearm, I would advise not traveling at all.

Maybe. It depends.

First you have to get it out of the USA - and there are laws about that.

22 CFR 123.17(c) is the key part of "22 CFR 123.17 - Exports of firearms, ammunition, and personal protective gear.".

17c states that:

(c) Port Directors of U.S. Customs and Border Protection shall permit U.S. persons to export temporarily from the United States without a license not more than three nonautomatic firearms in Category I(a) of § 121.1 of this subchapter and not more than 1,000 cartridges therefor, provided that: (1) A declaration by the U.S. person and an inspection by a customs officer is made; (2) The firearms and accompanying ammunition must be with the U.S. person’s baggage or effects, whether accompanied or unaccompanied (but not mailed); and (3) They must be for that person’s exclusive use and not for reexport or other transfer of ownership…

More on what these exact terms might mean to you is covered on US Persons Travelling Abroad with Firearms.

Certainly, it's worth noting that some countries are banned from receiving weapons by the US - and as such you can't take your guns there. This list of countries and restrictions is available online.

Then, next you have to worry about the country you're going to. Will they let you carry a gun? Many won't. For that, you'll have to look up the local laws of the country you're visiting, and perhaps contact the authorities or a local gun club and ask about the laws.

Your concealed weapon license is a license under US Law. US law is irrelevant overseas, and you will be covered by whatever laws the other country has about guns. Odds are good you may need a license as well, or simply won't be allowed to carry it without a special exemption.

The answer at least as far as Delta is concerned is simple and is listed under Special Items Section of the baggage handling page it also refers to page from TSA on security regulations.

So it is as simple as declaring it and following the regulations listed

Shooting Equipment

Shooting equipment is allowed as checked baggage only. It must fit within the very specific criteria that we outline below.

• Declare to the Delta representative that you are checking a firearm.
• Declare the existence of a firearm to security personnel if there's a security checkpoint before the Delta counter.
• All firearms must be declared by the passenger to a Delta representative at the main ticket counter.
• Present firearm(s) unloaded and sign a "Firearms Unloaded" declaration.
• Firearms must be packed in a locked manufacturer's hard-sided container specifically designed for the firearm, a locked hard–sided gun case or a locked hard-sided piece of luggage. Handguns may be packed in a locked hard-sided gun case, and then packed inside an unlocked soft-sided piece of luggage. However, a Conditional Acceptance Tag must be used in this case.
• Maintain entry permits in your possession for the country or countries of destination or transit.
• Ensure small arms ammunition is packed in the manufacturer's original package or securely packed in fiber, wood, plastic or metal boxes and provide separation for cartridges.
• You are responsible for knowledge of and compliance with all Federal, State or local laws regarding the possession and transportation of firearms. For more information about this regulation you can visit the TSA website.
• If you are transporting a firearm to the United Kingdom, a permit from the United Kingdom is specifically required. You must contact the United Kingdom for more information about securing this permit.
• Ammunition in excess of 11 lbs. per passenger or that contains potential projectiles is not allowed.

Pistols and accessories must be included in one case and contain:

• Pistol telescopes
• Noise suppressors
• A small pistol tool case
• No more than 11 lbs. (5 kg) of ammunition

Rifles and shotguns must be packaged as follows:

• One hard sided case containing up to four rifles, shotguns, shooting materials, tools
• One hard sided case containing up to five handguns, one scope, tools
• One bow and quiver of arrows and maintenance kit enclosed in a case or container strong enough to protect the bow and quiver from accidental damage
• No more than 11 lbs. (5 kg) of ammunition

An excess baggage fee will apply if checking more than one gun case.

I've personally witnessed someone from a Hungarian shooting team transporting their rifle through JFK using Lufthansa. And basically the procedures where as listed above. They declared it. Made sure it was unloaded. Secured in the Gun case. Special form was filled out by TSA and the rifle was tagged and sent on its merry way.

The issue is that traveling to some destinations having a gun other then for the purpose of transport through a destination with an out of state license may be illegal like in the case of New York City.