All right, I’ll do my best. So far nothing in myth, but then, my bird list is biased toward Europe, so here’s some other types of folklore.
Some yellow birds:
Canary: Mentioned in a Hungarian legend as singing beautifully because it paid attention to angels in the Garden of Eden, as opposed to the crows and owls. A Flemish legend recounts that it was once white, but the male came home really drunk one night and fell over and smashed the eggs, getting egg yolk all over. That’s why he’s bright yellow but his wife is more white. (I also found a canary in a myth from San Diego, but I can’t imagine what that could be: I grew up there, and the only yellowish bird was a finch. It’s kind of incidental to the story, anyway.) I’m going to ask Captain Amazing for a cite, since I’ve never heard of the loa Gran Ibo, and all of the references I see online are really dubious. The French word canari “canary” has an entirely different meaning in Haitian Creole, “A canari is a large earthen jar used for storing food. It is also a part of the ritual paraphernalia used in some vodun ceremonies.”
Goldcrest: Zilch.
Goldfinch: A Romanian legend holds that God created all the birds the same color and then recalled them for painting. God just took the leftovers, which is why the goldfinch has so many colors. A similar one from Flanders. There’s a reference to why the goldfinch is yellow in a Lappish text printed in German in Finland in 1925, but I don’t have that lying around. Probably similar, and equally likely a legend rather than a myth. There’s a sort of silly Gascon folksong about the marriage of the chaffinch (groom) and the goldfinch (bride). All these are under the French heading chardonneret which can be any number of Carduelis species, so I can’t guarantee that they’re actually goldfinches.
(European) Yellowhammer: Its eggs are said in Scotland to be "gouted with the taint of the de’il’s blood; sometimes called the devil’s bird; drinks a drop / three drops of the devil’s blood each May(day) morning. There’s sort of a disturbing Scottish game called spangie-hewit. If you stare at it too long you’ll get jaundice and die.
(American) Yellowhammer: Once, the yellowhammer saw a group of people passing ten houses. He was so excited that he cried out at each one; now the yellowhammer announces people’s arrival. (Takelma Indians, SW Oregon)
Yellow wagtail: Greek ἄνθος, also the word for “flower” (and therefore rather confusing: I see a lot of popular sources connecting Aphrodite with the wagtail, but I think they might be mistaken). There’s a guy named Anthos in a work by “an inconspicuous mythographer of the second century A.D.” in Seymour Pitcher’s delightful turn of phrase. In the story, the family’s hungry mares eat the son, Anthos, as he cries out to the gods for help. Dad did nothing and got turned into a bittern; mom fought the mares and got turned into a crested lark; Anthos became the yellow wagtail, which is scared of horses and yet sounds a little like neighing when it takes off. Pitcher suggests the horses have eaten poison plants: I’ll add that ragweed is yellow and might fit the bill. A rather ancient medical ritual from the Atharvaveda (roughly 1000 BC) involved curing jaundice with a whole range of red (good) and yellow (bad) things, ultimately transferring the disease to the yellow wagtail.