Yes, it is possible. As a matter of fact, Windows 10 has this feature built in. If your version of Windows 10 does not have this feature, then you need to update it.
- Connect two or more audio playback devices to your PC.
- In Windows 10, go to Settings > System > Sound. You can also search for "sound" and click on Sound Settings.
- Under the heading Advanced sound options, click on App volume and device preferences.
- From these settings, you can set the output audio and input audio for each application independently.
Another method with a better user interface is to install a program called
EarTrumpet.
https://www.microsoft.com/en-us/p/eartrumpet/9nblggh516xp?activetab=pivot:overviewtab
In this program, you can right-click on an application to change the audio playback device.
If you are using an older version of Windows, there is a way to do this with a third-party software. Unfortunately, I do not remember the name. I will try to search for it if necessary.