The most difficult allusions in Yeats are not to Roman or Greek history, but rather to Celtic mythology. The Celts were a group who inhabited Ireland long before the Norman or British invasions. Druids, which Yeats mentions often, were the healers and priests of these ancient societies.
There are four great cycles that make up extant Irish mythology. The first is the Mythological Cycle, which describes the origins of Irish deities. Yeats draws especially on the second cycle, the Ulster Cycle (sometimes called the Red Branch Cycle). The main character of this group of myths is Conchubar, who succeeded the previous king of Ulster, Fergus. Conchubar ruled around the time of Christ, in conflict with Queen Medh of Connacht. The most famous story in the Ulster cycle is the Tain bo Cuailnge, or "The Cattle Raid of Cooley." Cattle were the primary resource of ancient Ireland, so a raid on an enemy's cattle can be seen as symbolic as an attack on his wealth and prosperity in general.
Cuchulainn is another major figure in the Ulster cycle. He is the most famous hero of Irish myth. At seventeen years old, Cuchulainn is deemed the only warrior fit to protect Ulster against the machinations of Queen Medh. He defeats all of her combatants in one-on-one fighting, and engages in a grueling fight against his foster brother. Cuchulainn asked to be tied upright on a post so that he could continue fighting, which he did until he died. This death became a powerful symbol for 20th century Irish nationalists.
The third cycle, called the Fenian Cycle, is so called after the hero, Finn MacCumhall. Finn MacCumhall is most famous for building an army called the Fianna. Famously, a member of the Fianna, Diarmuid, ran away with Grania, whom the aged Finn had fallen in love with. This story is the basis for Yeats' "A Faery Song."
The last myth cycle, the Historical Cycle, is generally considered drier than the other cycles, and contains many accounts of kings and their politics. Yeats draws often on the middle two, less on the first cycle, and not at all on the last.