Who sets it, and when
Yandex Direct, the ad platform behind Yandex's search results and its wider partner network, sets yclid the instant someone clicks a paid ad. That covers ads in Yandex search results, and also the Yandex Advertising Network, which places native, content-recommendation-style units on partner sites, similar in spirit to the Taboola and Outbrain widgets covered elsewhere on this site. The value identifies one click. It is not a cookie, and it does not track you across sites on its own.
The Yandex Metrica pairing
Yandex Metrica is Yandex's own site analytics tool, roughly the counterpart to Google Analytics. When a landing page URL contains yclid, Metrica recognizes the parameter automatically and attributes that visit back to the specific Direct campaign, ad, and keyword that produced the click, without the advertiser adding separate UTM tags. This automatic pairing is the main reason yclid shows up on so many links: it lets the two Yandex products talk to each other by default.
What you lose without it
The visitor is unaffected. The page renders the same either way. For the advertiser, removing yclid before Metrica sees it breaks the automatic link between that visit and the Direct campaign that paid for the click. It also affects offline conversion import, where an advertiser uploads a later conversion, a phone sale or a signed contract, back into Direct using the original yclid so the platform can credit and optimize around it. Strip the id and that conversion has nowhere to attach.
What a real yclid looks like
A real yclid is numeric only, no letters, which also means there is no case sensitivity to worry about the way there is with an opaque token. The digits run long, longer than most people expect from a tracking id. If your link instead carries a shorter alphanumeric token, you are probably looking at Google's gclid rather than Yandex's version. Widgets from other native ad networks use their own formats entirely, covered under tblci and obOrigUrl, or browse the full list.