Yii2 use spl_autoload_register to create autoload feature
yii2\Yii.php:

spl_autoload_register(['Yii', 'autoload'], true, true);
Yii::$classMap = require(__DIR__ . '/classes.php');
Yii::$container = new yii\di\Container();

classes.php file is generated, it contains a map just look like below:

return [
  'yii\base\Action' => YII2_PATH . '/base/Action.php',
  'yii\base\ActionEvent' => YII2_PATH . '/base/ActionEvent.php',
  ...
  'yii\web\Application' => YII2_PATH . '/web/Application.php',
  ...
];

so you can using below code to create a Yii2 class.
(new yii\web\Application($config))->run(); //Yii start from here, index.php

when implement autoload function for Yii2, there also implement the alias map
to prevent hard-code absolute paths or URLs.
example:

Yii::setAlias('@foo', '/path/to/foo');
Yii::setAlias('@foo/bar', '/path2/bar');
Yii::getAlias('@foo/test/file.php');  // displays: /path/to/foo/test/file.php
Yii::getAlias('@foo/bar/file.php');   // displays: /path2/bar/file.php