What is name of first file the loaded when yii framework starts ?

index.php is first file that is called yii framework starts.In turn it will creates a new object of new yii\web\Application and start the application.

require(__DIR__ . '/../vendor/autoload.php');
require(__DIR__ . '/../vendor/yiisoft/yii2/Yii.php');

// load application configuration
$config = require(__DIR__ . '/../config/web.php');

// instantiate and configure the application
(new yii\web\Application($config))->run();