I have no idea why "chicken" is used for cowardly behavior. I can't find a thing. Maybe because of they way the run around like they're terrified of everything? There's a little more to work with for "yellow", which comes from the term "yellowbelly". Yellowbelly seems to have originated in the late 1700s as an insult to people from Lincolnshire. Apparently a particular animal native to the Fens of Lincolnshire is a yellow-bellied eel. It caught on in the U.S. as an insult from soldiers and western settlers toward the Mexicans. Why it means cowardly, however, I do not know. I've found references to "lillyliver" which explain how bile was once thought to instill passion and courage, so a pale liver would indicate cowardice. But that refers to pale or white, and not yellow, although it would explain the belly reference. I don't know if they're related or not.