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Yes, he did it many times.

Most recently, in series 6, he visited other parts of the world much more often than the UK. The only adventures set in England or Wales were "Closing Time" and probably "The Rebel Flesh"/"The Almost People". "The Impossible Astronaut"/"Day of the Moon" was set in the US, "The Curse of the Black Spot" was set in the Atlantic Ocean, and "Let's Kill Hitler" was set in Germany, and "The Wedding of River Song" was set all over the place.