Hello Yang,
Yes its possible.
for example -> like below ways
'/MessageSet?$expand=MesToLog,MesToKeyfield
'/MessageSet?$expand=MesToLog/MesToKeyfield
Please note it depends on how entities LogSet & KeyfieldSet are associated with MessageSet.
Please check the below and you will get better understanding.
Let's code association/navigation and data provider expand in OData service!
Multi-Level Expansion with GET_EXPANDED_ENTITYSET
Implementing Expand Entity/Entity Set
Regards,
Ashwin