Message pump loop and form1 methods - same thread?

Question

Do the message pump loop and form object's methods (public Form1() constructor for example) both run in the same thread? I believe the answer is yes due to GUI updating being allowed from both and also heavy processing in the form object's methods being able to block the form's GUI.

 

If so, how does control alternate between the message pump's loop and the form's methods when they are being run in the same thread of execution?