The Yellow brick road is a stock phrase referent to a path which leads to a life of fantasy and carefreeness.
The Yellow brick road is an element in the story about the The Wonderful Wizard of Oz by L. Frank Baum The yellow brick road leads to Oz. As "Oz" is also a short-form slang word for the country Australia, phrases like "down the yellow brick road" simply mean "in Australia".
Phrases referring to the yellow brick road are sometimes perceived as hopelessly idiomatic by non-native English speakers.
There are also real Yellow Brick roads, such as the one in Hoboken, New Jersey (Castle Point Terrace).
A variation on this phrase is involved in this joke.