The Yeltsin in the supermarket story is fairly well documented. During a trip to the United States in 1989 that included a visit to the Johnson Space Center in Houston, Texas, Yeltsin took 20 minutes out of his trip to visit a nearby location of the supermarket chain Randall's. Of course it's easy to see why the narrative appeals - the idea that the abundance produced by American capitalism is so impressive that it directly motivates someone to bring down communism. It's certainly how he described it in his own autobiography, claiming that he felt "sick with despair" over how the supermarkets in the Soviet Union looked compared to a random supermarket in Clear Lake, Texas. Given that the Soviet Union was rationing more and more food during the eighties and failing to keep up with non-consumer goods, it's easy to imagine how impressed Yeltsin must have been. By all eye witness accounts he was genuinely surprised by what was on offer, and he would question random shoppers about how representative this supermarket was of the American consumer experience. In his biography Yeltsin, A Revolutionary Life author Leon Aron more or less confirms the story, having discussed it with a Soviet official who was with Yeltsin on a plane back to Russia as Yeltsin despaired over the state of the consumer market in the Soviet Union compared to what he had seen in America.
The quality of consumer goods was central to the way the Soviet Union presented itself to the world. The quality of its material goods and the economic output were how they validated their rejection of capitalism. Perhaps the greatest example of this is the 1959 Kitchen Debate between then-Vice President Richard Nixon and General Secretary Nikita Khrushchev. The debate took place in Moscow, in a model home that was part of a larger exhibition that was meant to represent the life of the American worker. The Soviet Union had held a similar exhibition in the United States, as part of a joint effort to foster understanding for the opposing party among its citizens. A lot of the debate focused on the quality of the housing and its appliances, and how capitalism made this all possible. It was famous for the Nixon quote that America and the Soviet Union should compete for who could create the best washing machine, not the best nuclear missile. But for the post-World War II Soviet Union, a lot of its validation came from the idea that communism could compete with capitalism in the material quality of life of its inhabitants. By 1989, when Yeltsin made his visit, that was very much not the case.
Further reading:
Leon Aron, Yeltsin: A Revolutionary Life (St. Martin's Press, 2000).
Susan E. Reed, "Who Will Beat Whom? - Soviet Popular Reception of the American National Exhibition in Moscow, 1959," Kritika: Explorations in Eurasian History vol. 9 (4) (2008): 855-904.
And a Houston Chronicle page that has photos of the event: http://www.chron.com/neighborhood/bayarea/news/article/When-Boris-Yeltsin-went-grocery-shopping-in-Clear-5759129.php