Through wall to surface mount box?
It appears that there's a screw just to the left of your green arrow that holds the box to the wall. If that screw is centered on the stud, then it's likely that the stud will actually be blocking both knockouts to the left and right side. i.e., you could get the knockout out, but there may not be enough room for the connector or conduit.
If that's the case, you'd want to go with a knockout on the right side of the box, directly into an elbow pointed at the wall. Run your conduit through the wall at that point, then decide if it's going to go into the back of a box on the other side or into the side like this one.
Other than that (and ensuring you don't exceed fill limits), there should be no problem with your desired method.