Can you Record Character Player actions to Keyframing so that can make Cinematic scene?

Let's say you have a player that walks. You want to do some walking in yur scenematic scene which has camera animation and so on.

I know you can record animation by draggin and pulling objects once you open up the Animation Window and press the record button and creating keyframes, but can you record character animation of what the player person actualy does with the player character?

Or should i forget about that and just do Cinemtatic animations in the 3D program and then import them? But what if i want my characters to interact with the Physics enabled Unity environements?