You don't need to repeat "my".
Listeners will generally understand "my" to determine all of the items in the list
I brought my pen, book and bag.
If the ownership is different, and important, you can mention it
I brought my pen, book, and Katie's notepad that she'd lent me.
It is quite common to repeat "my" and not strange:
I brought my pen, my book, and Katie's notepad that she'd lent me.
You've brought up a fairly weird example in the comments:
I brought my pen and bricks.
Wait, what? This is a very unlikely situation, but deja-vu Don't get yourself tied in knots: nobody ever says this. If they did we would probably understand because it would be one of those special occasions when people gather and are expected to bring a brick or two. I've never been to that kind of party, but if you have, that's cool.