I have class Foo which needs class Bar as an import. Class Bar is loaded with different class loader than Foo and while defining Foo, class loader can't find Bar and throws ClassNotFoundException. Is it even possible to tell class loader, if class is not available in current class loader try looking in another?
Not generally, no. One could write such a classloader, but you can't 'edit' an existing classloader to work like this.
ClassLoaders are asked by either code itself (SomeClass.class.getResource will end up there, as will, of course, invoking findResource or loadClass or whatnot on an actual ClassLoader instance), or by the JVM (when a given class needs another to execute, the class's classloader is asked for it. This usually results in that CL returning it from cache, but if it hasn't been loaded yet by that CL, that would result in it being loaded).
The CL is then free to implement this request in any way it sees fit. URLClassLoader, which is also the default classloader (initialized with the classpath) will first ask its parent loader (in the default JVM config, that'll be the system loader that knows where e.g. java.lang.String lives, from the jmod files of your JDK installation), and return that result if available. It will then load by scanning classpath, and it ends there. You can't ask an existing URLClassLoader to change its behaviour, but you can of course write your own classloader - it's just code, you can extend the findClass etc methods.
Maybe elaborate a bit on what you're trying to accomplish. Why are multiple classloaders involved and what are you trying to accomplish by having multiple? (Say: Load classes from database BLOB fields, or, separate modules out, or, allow dynamic reloading of web handlers - that kind of answer). Are you using an existing CL-based framework like OSGi, perhaps?