I stepped into the yard is correct. "The yard" is a space that you enter, like a room, so you step into it.
You "step in" something like a puddle, some grease or mud. When you 'step in' just your foot enters the space or substance, so you don't enter it. You can 'step onto' a stair, or a ladder. Often the phrasal verb in those circumstances is expanded to 'step up onto', as the action involves stepping onto a raised surface. You can indeed 'step through' something - usually an entrance or portal to another place, e.g. a gate, an archway, a curtain.
As a native speaker I had never heard of 'phrasal verbs' until I came to Italki - I just used them without thinking about it. Now I am starting to realise how frustrating they must be for English-learners!