Yes absolutely. In fact employers are more likely to consider a candidate with a current job than one without. Prospective employers will wonder why you are currently not working and will pass you over for one who is. You might think that hiring managers will look at a candidate with a current job as disingenuous but the fact is doing so demonstrates conscientiousness and a strong work ethic.
The length of time you have been out of work also matters. A candidate who has been unemployed for 3 months or less will be viewed as being able to pick up the skills required for the new job much faster than one has been out of work for 6 months or more. The shorter the period between your last job and the time of application, the easier it would be to establish a useful reference if your prospective job requires one.
The biggest advantage is that you are not concerned whether you will be rejected. When you are not under the stress of potential rejection you will naturally be more confident during the interview. This is a proven psychological phenomenon. Also the interviewer will be more open to hearing from your experiences even if you don't immediately prove yourself worthy of hiring. HR will also consider a prospective employee more valuable if they show that they can use the skills in their current position to benefit the position they are applying for.
So to all prospective job seekers: do not hesitate to apply for new jobs even if you have one. It only shows unquestionable dedication and confidence which already puts you one step ahead of your competitors.