Oscar Diggs, Theodora, and Finley follow the Yellow Brick Road to the Emerald City. Then Oscar and Finley travel it once more to find the Witch they assume is wicked in order to kill her. On the way, they stop by China Country and rescue China Girl.
According to ABC promos, the road can also lead to Wisteria Lane. Unlike the representations of the Yellow Brick Road in most Wizard of Oz movies, the one in The Muppets' Wizard of Oz also featured yellow brick walls, a convenient way of hiding the Muppet performers.