Yes. In fact, he was apparently a very accomplished guitarist who specialized in Russian and Gypsy folk music. He even recorded a couple of records over his lifetime.
I had always known Yul Brynner from his movies; as the Pharaoh in The Ten Commandments as “Chris” in The Magnificent Seven, and who could forget him as the lead in The King and I? Yul Brynner was a special and unique talent, and I have always been a fan; I guess not big enough to know about his musical history. But there it is. Yet another reason to appreciate his talent!