95 yukon won't shift into first gear.

There are a few ideas in the link, but you probably need a transmission specialist.

https://www.google.com/search?q=1999+GMC+Yukon+2WD.+Transmission+won%27t+shift+into+overdrive

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Do you have a check engine light
4L60E check fuses before working on your chevy transmission
https://www.youtube.com/watch?v=pbaj0dOG2vg

GMC Yukon Denali: he cant shift into park..shifter
https://www.justanswer.com/gm/3z762-gmc-yukon-denali-can-t-shift-park-shifter.html

I put my truck into drive or reverse n it will not move at all what is causeing this to happen
https://www.cargurus.com/Cars/Discussion-t14601_ds575443

Shift but won't go into gear just revs
https://www.transmissionrepaircostguide.com/topic/shift-but-wont-go-into-gear-just-revs/

I have had vehicles where the speed sensor, MAF, MAP and throttle body did not let them shift as they should but the vehicle did shift. I have put several links above. Just to make sure if you have check engine light find out the code. Make sure you check transmission fluid with engine on and in park, emergency brake on at normal operating temperature. ( May sound bad but I have had to tell people above 30 about this and they said it was the first they heard of it). I will say the thing which stands out to me is check shifter cable. Check fuses. I did see a link which suggested brakes locked up but I assume the truck is not even trying to move.

GMC Yukon (2003 - 2004) - fuse box diagram
https://www.autogenius.info/gmc-yukon-2003-2004-fuse-box-diagram/

Sorry to say your vehicle does not use a vac modulator.

I've been doing research on these vans. Seems I remember that if the OD light flashes >>> fluid level is low. Also, I read where Ford wants you to overfill fluid so as to allow you to go around corners without loss of lubracation. By this time you may have melted it down and bought a Honda. I have a 95 Teal color and just in flawless shape, however it won;t go in reverse. Just follow the hood ornament and don;t look back...right ! ?

could be the reverse planetary gear, which also runs 2nd and 4th gears.

gear oil, weight and capacity is in the owners manual. the guy behind the counter at the parts store can sell you some.

You may have a bad Vehicle Speed Sensor [VSS] This sensor provides the information the speedometer needs to indicate speed and also supplies the transmission with information it needs to determine when to shift. If the signal is lost you can end up with the very symptoms you are having. It's usually located on the rear of the transmission or transfer case area. Hope this helps!

this sounds like the pressure valve is going bad on third gear. cheap fix try Lucus transmission additive to increase the pressure.
To do it right go to a good transmission shop an have it serviced and flushed.

There is a connector to disconnect . Yes it should be at "0". The connector is near the blower motor above the front passengers feet area. I think its a single wire connector with a tan wire

no power stuck in 3rd gear electric shop unless youve burnt it up good luck...www.TransmissionGarage.com