Drywall joint compound may temporarily stick to plywood, but will be unlikely to remain attached to plywood for a prolonged period of time. Drywall joint compound is intended to penetrate the thin paper lining of drywall to aid in bonding. For plywood applications, other solutions should be considered.
When making a transition between drywall and plywood, chicken wire can be stapled to the plywood and used to give the drywall joint compound something to stick to. This works well for obtuse angles such as those found in the corners of nontraditionally shaped rooms. Drywall joint compound applied directly to plywood may stick temporarily, but ultimately will flake off and crack.
For small joints and gaps, mesh tape can be used. Mesh tape can be applied to a small area of plywood, such as the overlap between a piece of drywall and a piece of plywood. The tape will give the joint compound more of a purchase on the wood, and will help prevent cracking and flaking as the compound dries.
PVA primer is compatible with drywall joint compound, meaning the two will bind readily. PVA primer can be purchased in most any hardware or home improvement store. It is applied directly over the plywood in a few layers, and will prep the wood to accept joint compound. Be sure to sand any rough spots prior to applying the PVA, to avoid unnecessary sanding later, when the joint compound is applied.
Wood filler is to wood as drywall joint compound is to drywall. Wood filler can be applied to wood to fill in any gaps or holes, and used to bridge seams between two pieces of plywood. Filler will bind better with plywood than joint compound can, and can be sanded or stained as needed.