Anyone hoping to find continuity in the Zelda series is in for major headaches. These games are not the "Adventures of Link", it is specifically known as "The Legend of Zelda". Now, "Zelda" is certainly not one person. If anything, it's like a title given to the Princess of Hyrule, with each new princess being a descendant from the original Princess Zelda.
The Zelda series is simply a bunch of whimsical, fantasy-style iterations. It covers multiple dimensions, and different time periods.
Think of it this way, the series bears no exact timeline because whoever recorded this legend did a pretty poor job of organizing
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Actually, now that I think about it, the reason the Zelda series has no obvious continuity is because the Legend of Zelda was not originally intended to be a major, continuous saga. How could Nintendo have known TLoZ would become one of their most successful franchises? Nope, Miyamoto and co. just made one Zelda game, without any plans for a sequel. But because that first Zelda game became so popular, Nintendo did the smart thing and kept the series going.
I think Nintendo might have been a little blinded by their own success. They knew that no matter what, Zelda would sell. And so, for the first couple of games, they didn't even bother setting up a major, continuous plot. A Link to the Past was perhaps their first attempt at constructing an actual legend, but it contained so many plot holes and inconsistencies that clearly the story was just put in as an afterthought.
What did Nintendo care? They had the Action-RPG genre all to themselves (all those other Action-RPG games either went unnoticed, or were also on Nintendo's systems).
When Squaresoft's Final Fantasy VI and VII made their debut on the PSX, Nintendo's Zelda was suddenly up against some true competition, and so with Ocarina of Time, they put a whole bunch of effort into the design, and a finally produced a working plot. This time around, the Zelda game got Game of the Year.
Wind Waker is Nintendo's way of saying "Yes, we now know that it's not enough to rely on a series' name for sales." WW is, imo, the best Zelda game yet. And this time around, it has a very comprehensive, very mature plot. Congrats Nintendo.
If we could just ignore the Zelda originals (Link I, II, Awakening and LttP) and go with OoT, MM, and WW, then there's definitely a continuous plot to be had. But for the series as a whole, it's still one big messy anthology.