As node is single-threaded only one piece of code is ever being executed at any time. A callback (such as the callback from a remote HTTP GET request) will be added to the end of the event loop's message queue. When there are no more functions on the stack, the program waits for a message to be added to the queue, and runs the message's function (in this case, the request callback function).
If you are making parallel requests to a remote server then you won't get the requests completed in the same order each time unless you run the requests in series. The callback functions will never run at the same time, however - only one function can ever be executed at once.