Yes, that is normally classified as a relative pronoun when it’s used in a phrase like “the house that I live in” or “the train that departs at 4 p.m.”
Some modern grammars disagree, classing it as a subordinating conjunction instead in such cases, but traditional grammars usually call it a relative pronoun.
In other contexts, that can also function as a conjunction, adverb, or determiner.
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