It is not very difficult to find yarn and thread in Bologna, Italy. My two favorites are Casa della Lana and Filato Monterosa, two very different shops within easy walking distance of the apartment that is home for a week.
Casa della Lana, on via Augusto Righi at via Gugliemo Oberdan, looks like a women's clothing store from the outside, but on the inside, the shelves are stocked with lovely yarn, mostly Italian. The very finest lace weight is all together. The other yarns are arranged by color, which is not normally my favorite arrangement, but it works here.
Filati Monterosa, on via G. Marconi at about via Parigi, has some yarn but its selling point with me is threads of all varieties, brands, weights, and colors.
I won't list what I bought but it was difficult going down from "one of everything, please" to what will fit in my suitcase.
Buying yarn may be easy but needles, not so much. Yarn shops have some needles, mostly long straight ones. You also can buy needles in mercerie, shops that sells notions such as sewing thread (but usually not fabric), pins, ribbons, buttons, women's underwear, zippers, some crochet threads, embroidery threads, and crochet and knitting supplies (but usually not yarn, except in small towns where mercerie function for both notions and yarn). I am looking for 1.5mm circular needles; so far, 2.0mm is the smallest I have found. Guess I have more shopping to do.