Tunnelling across superconducting junctions proceeds by a rich variety of processes, which transfer single electrons, Cooper pairs or even larger numbers of electrons by multiple Andreev reflections. Photon-assisted tunnelling combined with the venerable Tien–Gordon model has long been a powerful tool to identify tunnelling processes between superconductors. Here, we probe superconducting tunnel junctions including an impurity-induced Yu–Shiba–Rusinov (YSR) state by exposing a scanning tunnelling microscope with a superconducting tip to microwave radiation. We find that a simple Tien–Gordon description describes tunnelling of single electrons and Cooper pairs into the bare substrate, but breaks down for tunnelling via YSR states by resonant Andreev reflections. We develop an improved theoretical description that is in excellent agreement with the data. Our results establish photon-assisted tunnelling as a powerful tool to analyse tunnelling processes at the atomic scale, which should be particularly informative for unconventional and topological superconductors.