What exactly happens on the computer when multiple requests came to the webserver serving django or pyramid application?
There's no magic in pyramid or django that gets you past process boundaries. The answers depend entirely on the particular server you've selected and the settings you've selected. For example, uwsgi has the ability to run multiple threads and multiple processes. If uwsig spins up multiple processes then they will each have their own copies of data which are not shared unless you took the time to create some IPC (this is why you should keep state in a third party like a database instead of in-memory objects which are not shared across processes). Each process initializes a WSGI object (let's call it app) which the server calls via body_iter = app(environ, start_response). This app object is shared across all of the threads in the process and is invoked concurrently, thus it needs to be threadsafe (usually the structures the app uses are either threadlocal or readonly to deal with this, for example a connection pool to the database).
In general the answers to your questions are that things happen concurrently, and objects may or may not be shared based on your server model but in general you should take anything that you want to be shared and store it somewhere that can handle concurrency properly (a database).
I am having a hard time trying to figure out the big picture of the handling of multiple requests by the uwsgi server with django or pyramid application. 
My understanding at the moment is this: 
When multiple http requests are sent to uwsgi server concurrently, the server creates a separate processes or threads (copies of itself) for every request (or assigns to them the request) and every process/thread loads the webapplication's code (say django or pyramid) into computers memory and executes it and returns the response. In between every copy of the code can access the session, cache or database. There is a separate database server usually and it can also handle concurrent requests to the database. 
So here some questions I am fighting with. 

Is my above understanding correct or not?  
Are the copies of code interact with each other somehow or are they wholly separated from each other?
What about the session or cache?  Are they shared between them or are they local to each copy?  
How are they created: by the webserver or by copies of python code?  
How are responses returned to the requesters: by each process concurrently or are they put to some kind of queue and sent synchroniously?

I have googled these questions and have found very interesting answers on StackOverflow but anyway can't get the whole picture and the whole process remains a mystery for me. It would be fantastic if someone can explain the whole picture in terms of django or pyramid with uwsgi or whatever webserver.
Sorry for asking kind of dumb questions, but they really torment me every night and I am looking forward to your help:)