The Yun's OS (Linino) is based on OpenWRT, and the official toolchain from OpenWRT does not appear to have changed much. It could probably be done, the question is if you'd really want to though.
The limited resources (storage, RAM, CPU) means you would most likely not fit all the parts of the toolchain for C/C++ compilation (perhaps with the exception of very basic programs without many dependencies). The YUN's package manager (opkg) should contain pre-built packackes if they exist, but given that even the list of packages is only kept in RAM to conserve space, I doubt the entire toolchain with libraries needed to compile useful stuff would fit.
The official way to build things for OpenWRT appears to be cross-compilation on a much beefier machine, if only because it takes a fraction of the time needed by a native compiler. All in all, you're also very likely to save time and resources by cross-compiling and have more resources left on the YUN itself.