Of course. There may be some combination of origin/destination where its legal for an unlicensed consumer to ship, via common carrier, alcohol to another unlicensed entity. In those situations, if they exist at all, there may be some combination where its legal for the carriers to do so but choose not to because of policy.
But those situations, if they exist at all, are rare. There actually is some carve-out for home brew competitions in certain jurisdictions. And it may be legal for the consumers involved, but technically not legal for the carriers. Even among licensed shippers, there's places the common carriers won't ship because they're liability is huge due to the intricacies of the laws involved, if technically not illegal. Laws like "you have to verify the ID of the recipient".
In numerous places, its a felony.
I do this and support this for my living (for a wine company) and we've looked at it extensively. The rules and laws change all the time too.
To the OP: I don't know what the penalties are, they likely vary. You can likely count on confiscation however.