There is a theory that suggests that Link in Majora's Mask is actually dead and is the reason why the five stages of grief are expressed through this dark and eerie game. As a Zelda fan I noticed problems and inconsistencies with this theory from the beginning, suspecting that the publisher of this theory did not extensively do research nor know the series very well. In this post I am going to debunk this theory with a few key points:
1) Termina takes place in "an alternate dimension." This is something basic confirmed by Nintendo. To say "Link died in the Lost Woods" is a mere stretch to say the least, but this point is not enough alone to prove my point.
2) Link leaves Termina and is back in the Lost Woods, obviously alive, after his quest is over. If Link died, and Termina was a place that he went after death, it would be unlikely that he would return fully intact to his own world. Again, the theory has to take a hard stretch in proving that he ever died.
3) Link has descendants. Link from Twilight Princess is a descendant from Link from Majora's Mask meaning that he would have had to have been grown after Majora's Mask to have children. I couldn't imagine him having a baby as a mere child --- even if he was thought to be a forest kid. I doubt even the Kokiri have sex as children; that would be extremely controversial, even for Nintendo.
4) The Hero's Shade... The Hero's Shade is an adult version of a dead Ocarina of Time Link. If he would have died as a child, the Hero's Shade just would not make sense because of his fully adult body. Another note is the Hero's Shade is dressed similar to a knight. It is very likely that Link from Ocarina of Time ended up becoming a knight and had children (or a child) of his own, just as all the canon content would point to.
Those are just four main points right off the bat to debunk that ungrounded "Link was Dead" theory that has been floating around. Link is surely alive.