Starting with yEd 3.8, you can import the shapes of a stencil of a Microsoft Visio XML file (*.vsx, *.vdx) as symbols into the palette. Please see the corresponding article in the yEd manual for details. Visio's *.vss and *.vsd formats are not supported.
Currently, the support for Visio shapes has some known limitations which are discussed in this topic. In addition to this, Visio symbols are also not supported by the HTML Flash Viewer.