if you use IMAP, yes it will, if you use POP, no it won't.
read on wikipedia about the differences in detail, but the main difference is that with POP, each client acts individually, taking messages from the server, while IMAP will sync the message status between the server and all clients.
if you use gmail or yahoo or some corporate accounts you can set-up imap, but most home ISPs don't do IMAP (check if that's your boat)
one solution to this problem though is to create a gmail account that automatically collects your POP account and automatically sends via your POP, then use that gmail account on your iphone and your mac, and you will achieve exactly what you want!
hope that helps
doobs