Context. The evolution of massive stars surviving the red supergiant (RSG) stage remains unexplored due to the rarity of such objects. The yellow hypergiants (YHGs) appear to be the warm counterparts of post-RSG classes located near the Humphreys-Davidson upper luminosity limit, which are characterized by atmospheric instability and high mass-loss rates. Aims: We aim to increase the number of YHGs in M 33 and thus to contribute to a better understanding of the pre-supernova evolution of massive stars. Methods: Optical spectroscopy of five dust-enshrouded yellow supergiants (YSGs) selected from mid-IR criteria was obtained with the goal of detecting evidence of extensive atmospheres. We also analyzed BVIc photometry for 21 of the most luminous YSGs in M 33 spanning approximately nine years to identify changes in the spectral type that are expected based on the few well-studied YHGs. To explore the properties of circumstellar dust, we performed spectral energy distribution fitting of multi-band photometry of the 21 YSGs. We additionally conducted K-band spectroscopy of the YHG candidate B324 in search of processed ejected material. Results: We find three luminous YSGs in our sample, stars 2, 6 and 13, with log L/L⊙ ≳ 5.35 to be YHG candidates, as they are surrounded by hot dust and are enshrouded within extended, cold dusty envelopes. Our spectroscopy of star 2 shows emission of more than one Hα component, as well as emission of Ca ii and [N ii], implying an extended atmospheric structure. In addition, the long-term monitoring of the star reveals a dimming in the visual light curve of amplitude larger than 0.5 mag that caused an apparent drop in the temperature that exceeded 500 K. We suggest the observed variability to be analogous to that of the Galactic YHG ρ Cas. We further support the post-RSG classification of N125093 and B324 instead of being LBVs in outburst. Five less luminous YSGs are suggested as post-RSG candidates showing evidence of hot or/and cool dust emission. Conclusions: We demonstrate that mid-IR photometry, combined with optical spectroscopy and time-series photometry, provide a robust method for identifying candidate YHGs. Future discovery of YHGs in Local Group galaxies is critical for the study of the late evolution of intermediate-mass massive stars. Based on observations made with the Gran Telescopio Canarias (GTC), installed in the Spanish Observatorio de El Roque de Los Muchachos of the Instituto de Astrofísica de Canarias, on the island of La Palma, and on data collected at Subaru Telescope, which is operated by the National Astronomical Observatory of Japan.Full Table 1 is only available at the CDS via anonymous ftp to http://cdsarc.u-strasbg.fr (http://130.79.128.5) or via http://cdsarc.u-strasbg.fr/viz-bin/qcat?J/A+A/601/A76