For 2002 models that are not Denali, the amplifier is mounted vertically behind the glove box. Drop down the glove box by squeezing in the sides of the glove box walls until the back tabs ciear the stops, and the amplifier will be visible as a large aluminum heat sink with a single connector plugged into the left side of it.
If you your 2002 Yukon XL is a Denali, with RPO code Y91, then the amplifier is behind the left rear quarter panel trim. This is the same trim panel where the subwoofer is, only the amp is mounted on a separate bracket ahead of the wheel well. You can access the wiring without pulling the entire panel by simply lifting the snap in tray where the jack and jack tools are located, on top of the left rear wheel well. The Denali amp has two harness connectors, facing the rear.