I think so. Unfortunately, I don’t have an SMP machine on which to test this hypothesis. However, I can build and run MEX files that use the Intel Math Kernel Library, which is multi-threaded. If anyone has access to such a machine, drop me a line and we will test it.
Update: Funny, now I have an SMP machine–actually a dual dual-core (i.e. quad core) machine–that I could test this with, but I no longer own the Intel MKL libraries. Funny how life is.