No, but yes. There isn't a simple answer to this really - for example: the book Metro 2035 features some of the events and characters that were shown in the game Last Light (i.e. the Battle for D6 and Anna), but misses out others (such as the Baby Dark One). Then there is the upcoming game Metro Exodus, which is set after the Metro 2035 novel. A bunch of stuff from the Universe of Metro 2033 book series is also referenced in the games.
Basically, they kind of overlap, but in the end they form two slightly divergent continuities due to some key differences and the missing out or inclusion of some characters/themes. To help you wrap your head around this, as Metro canon can be a bit complicated sometimes, the "Events" article here on the Metro Wiki has a useful infographic just at the start of the "Timeline" section of the page:
Well yes, but actually no
What do you think?