The short answer is "yes," assuming you mean the Laser Printer Address Labels available from Avery and others. I use the "3 X 10" format of labels, for example. It is important to use address labels that are specifically for use in a laser printer because they have backing and adhesive that can survive the high heat used in the fusing process of the printer.
Secondly... it is not a great idea to run label sheets through the printer multiple times (when you've printed only some of the labels on a page and then are tempted to "re-use" the remaining partial page). I confess that I often run a sheet through the printer twice... if I've printed only a partial sheet, I'll save it and run it through a second time for another partial sheet full... but I never do it more than twice.
Thirdly... I use the "manual feed paper slot" to feed the sheet of labels through the printer, just because the straight paper path reduces any chance of labels coming off the sheet in the printing process (which has never happened to me, so I'm probably overly cautious).
If you regularly print one or a few labels at a time, you might consider investing in a dedicated address label printer, as you don't waste supplies that way.
I love the printer, by the way!
Hope that helps!