If you don't give youtube-dl a format option this in fact happens. From their MAN pages:
Since the end of April 2015 and version 2015.04.26, youtube-dl uses -f bestvideo+bestaudio/best as the default format selection (see #5447 (https://github.com/rg3/youtube-dl/issues/5447), #5456 (https://github.com/rg3/youtube-dl/issues/5456)). If ffmpeg or avconv are installed this results in downloading bestvideo and bestaudio separately and muxing them together into a single file giving the best overall quality available. Otherwise it falls back to best and results in downloading the best available quality served as a single file. best is also needed for videos that don't come from YouTube because they don't provide the audio and video in two different files.
If you don't give youtube-dl a format option this in fact happens. From their MAN pages: