Since I've seen that galaxies are often called "deep sky objects", as opposed to individual stars, does this mean that all visible stars in the night sky actually only belong to The Milky Way Galaxy?

Or are there stars which belong at least to the galaxies in the Local Group?

I always thought that Milky Way was that lighter band (since it is said that the Galaxy is a "disc"), and that other stars might be part of other galaxies.