We investigate, using simultaneous rheology and confocal microscopy, the time-dependent stress response and transient single-particle dynamics following a step change in shear rate in binary colloidal glasses with large dynamical asymmetry and different mixing ratios. The transition from solid-like response to flow is characterised by a stress overshoot, whose magnitude is linked to transient superdiffusive dynamics as well as cage compression effects. These and the yield strain at which the overshoot occurs vary with the mixing ratio, and hence the prevailing caging mechanism. The yielding and stress storage are dominated by dynamics on different time and length scales, the short-time incage dynamics and the long-time structural relaxation respectively. These time scales and their relation to the characteristic time associated with the applied shear, namely the inverse shear rate, result in two different and distinct regimes of the shear rate dependencies of the yield strain and the magnitude of the stress overshoot.