This sounds a lot like the beginning of Helliconia Spring by Brian Aldiss, published in 1982.
The Yeti-like antagonist creatures are called phagors. They are humanoid creatures with white fur and horns and they often fight and enslave humans. The book opens with young boy named Yuli going on a hunt with his father Alehaw. They get ambushed by a group of phagors and Yuli’s father is captured. Yuli is frustrated that his father does not fight back:
He could not understand why Alehaw did not break from his captors and run back downhill; then he could grasp his spear again, and together the two of them would stand side by side and kill all the shaggy phagors.
Eventually, Yuli is found by other humans and goes to live in an underground city called Pannoval, which is built inside a large cave:
Never would he forget his entry into Pannoval, and his passing from the world under the sky.
Everywhere was stone, stone carved into walls and divisions, stalls, houses, pens, and flights of steps—for this great mysterious cave tipped away up towards the interior of the mountain, and had been hewn over the centuries into small level squares, each separated from the next by step and flanking walls.
The Pannoval society is religious and very repressive. Later, Yuli decides to escape the city. He gathers a group of people and they escape through the underground tunnels out of the city. But on their way, they encounter a giant worm creature called Wutra’s worm.
Legend said Wutra’s worm was silent, but now it approached with a roar, whatever it might be.
Moved more by terror than courage, Yuli peered from their lair.
There it was, coming fast. Its features could hardly be discerned behind the bank of green luminescence it pushed along in front of it. Four eyes, banked two and two, whiskers and fangs gigantic.
Yuli’s story is just the first section of the book. The book has long time jumps between sections, which feature different characters and stories on the planet Helliconia.
As for the book cover, perhaps you may have read this edition: