Select the color which matches the steps before filenames ((non-)login and (non-)interactive), then follow that arrow the rest of the way. There’s more colors in Bash because Bash makes a distinction between remote and local shells.

Another way to look at the same data for Zsh (note: $ZDOTDIR will be used instead of $HOME if it’s defined at any step along the way):

One confusion on the Bash side of the diagram is that you see branching paths into ~/.profile, ~/.bash_profile and ~/.bash_login. Bash will use for ~/.bash_profile, ~/.bash_login, and ~/.profile, in that order, and execute only the first one that exists and is readable.