The exception is the 6.2-liter engine that's optional on the XL and included in the Denali. It returns just 14/18.
But the Yukon lineup redeems itself with the Hybrid model. With an EPA-estimated 20 mpg city, 23 highway, the Yukon Hybrid gets nearly 50 percent more miles out of every gallon, compared to most other full-size SUVs, and it has most of their towing ability (5,000 pounds).
All standard Yukon models are also E85 (85-percent ethanol) compatible; but when you fuel up with ethanol you'll get an EPA-estimated 11 mpg city, 16 highway.