In PDE, Yukawa potential can be calculate as $$G^\mu(x) = \int_{0}^{\infty} \frac{1}{(4\pi t)^{\frac{d}{2}}}e^{-\frac{x^2}{4t} - \mu^2t}dt$$
When $d = 3$ we can get the close formula $G^\mu(x) = \frac{1}{4\pi|x|}e^{-\mu|x|}$.
How should we do the integral?
Using a CAS $$G^\mu(x) = \int_{0}^{\infty} \frac{1}{(4\pi t)^{\frac{d}{2}}}e^{-\frac{x^2}{4t} - \mu^2t} dt$$ is given, before any simplication or assumptions by $$G^\mu(x)= (2 \pi )^{-\frac d2} \left(\frac{\mu ^2}{x^2}\right)^{\frac{d-2}{4}} K_{\frac{d-2}{2}}\left(\sqrt{x^2 \mu ^2}\right)$$ which gives your result for $d=3$.
Bessel functions only appear for even values of $d$.