Primary and Foreign Key at the same time

Sure, no problem:

CREATE TABLE dbo.[User]
(
  Id int NOT NULL IDENTITY PRIMARY KEY,
  Name nvarchar(1024) NOT NULL
);

CREATE TABLE [Group] 
(
  Id int NOT NULL IDENTITY PRIMARY KEY,
  Name nvarchar(1024) NOT NULL
);

CREATE TABLE [UserToGroup]
(
  UserId int NOT NULL,
  GroupId int NOT NULL,
  PRIMARY KEY CLUSTERED ( UserId, GroupId ),
  FOREIGN KEY ( UserId ) REFERENCES [User] ( Id ) ON UPDATE  NO ACTION  ON DELETE  CASCADE,
  FOREIGN KEY ( GroupId ) REFERENCES [Group] ( Id ) ON UPDATE  NO ACTION  ON DELETE  CASCADE
);

This is quite commonly used to model many-to-many relations.