In The Legend of Zelda: Ocarina of Time, Link awakens from his seven-year slumber to a world in which Ganondorf has achieved his goal of becoming the ruler of Hyrule. He finds that his only friend is Sheik, a mysterious masked man armed with a harp and a few songs. Sheik ends up being a major guiding force throughout Link’s Ocarina of Time adventure, greatly helping him in his quest to awaken the five lost Sages needed to defeat the evil Prince of Thieves. After Link accomplishes his task, Sheik reveals himself to actually be Zelda, Princess of Hyrule, leader of the Sages, and holder of the Triforce of Wisdom.
When he pulled out the Master Sword, Link was kept in Ocarina of Time's Spirit Realm until he was old enough to wield the mythical weapon. His extraction of the sword had unforeseen consequences, however, as it allowed Ganondorf to follow Link and obtain the Triforce from the Spirit Realm. As the Triforce requires its user to have an equal balance of courage, wisdom, and power, he wasn’t able to wield the relic, resulting in the Triforce splitting into three pieces, with each going to the person most representative of each respective piece - the Triforce of Courage to Link, Wisdom to Zelda, and Power to Ganondorf.
Ganondorf still had ambitions to control the Triforce in all of its strength, and he could still do so if he were to find the other pieces. Like Thanos' Infinity Gauntlet, the Triforce is able to grant any wish of the one who possesses it, ostensibly giving the user unlimited power. As the owner of one of those sacred pieces, Zelda knew Ganondorf would be hot on her trail.
How Zelda Was Able To Disguise Herself So Well As Sheik
In order to hide from Ganondorf and protect her Triforce piece, Zelda chose to disguise herself until Link returned, opting to pass off as a member of the Sheikah - the same race as Impa, Zelda's sworn childhood protector. Ganondorf later insinuates that he was allowing Link to travel Hyrule and find the Sages, knowing that, at the end of Link's mission, Zelda would let her guard down and reveal herself.
Sheik shows Link the Triforce of Wisdom, and in a flash of light, the once-mysterious ally is immediately replaced by Zelda in her iconic dress. It would be very difficult for her to fit that dress, with its metal ornaments and tiara, in Sheik’s tight-fitting, ninja-esque suit, implying the transformation is magical in some capacity. As seen in Breath of the Wild, members of the evil Sheikah offshoot known as the Yiga Clan are also able to disguise themselves similarly, instantaneously changing both their physical appearance, voice, and apparent gender.
Humorously, there is a Gossip Stone that can be found just outside of Hyrule Castle that says “contrary to her elegant image, Princess Zelda of Hyrule Castle is, in fact, a tomboy,” foreshadowing the eventual reveal. The connection between Sheik and Zelda may never have a clear, in-universe explanation, but the enigmatic nature of their relationship continues to be a point of interest for The Legend of Zelda: Ocarina of Time fans to this day.