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Entering the United States, you'll go through immigration and then TSA security when you arrive at DFW (unless you are coming from a Preclearence airport, where you'll go through US immigration and customs before you fly).
Arriving at DFW on your way in, you'll go through immigration, baggage claim (where you must pick up any checked luggage), customs, baggage-drop off (where you'll return any checked luggage for your next flight), and security before heading to your gate for the flight to Pittsburgh.
Leaving the US, you will not have to pass through immigration at all, and would only have to go through security at your first airport unless you need to change terminals and the airport in question doesn't have a way to do that within the secure area. In your case, you will not need to go through security again while leaving, as DFW and ORD allow you to move between terminals without exiting the secure area (setting aside ORD's terminal 5 bus situation, which won't apply here).
In short:
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First you will pass security in your home country. When you land in the US for the first time, you will do immigration. Depending on the airport layout, this sometimes forces you to leave the secure area as you also must pick up your suitcase to take it through customs. In such case, you will need to come back into the secure area and therefore go through security before boarding your next flight.
Some airports let you go through immigration and customs at once and remain within the secure area and so there will not be another security checkpoint. It has been a while since I've been to DFW but I think you will have to exit and go through security to get back in.
On your return journey, you will go through security only once, at your starting city (PIT). When you arrive in DFW, you will be able to transfer to your gate using the SkyTrain which moves between the different terminals within the secure area.