Trust me, NONE of the Elder Scrolls games link together.
Except that the main events in all the previous Elder Scrolls games prophesized the coming of Alduin the World-Eater in Skyrim.
The breaking of the Staff of Chaos in Arena, the resurrection of the Numidium in Daggerfall, the Nerevarine in Morrowind, the opening of the Oblivion gates in Oblivion, and civil war among the citizens of Skyrim, which is beginning after the assassination of their king as TESV begins.
The Elder Scrolls and Alduin's Wall prophesized these events to herald the coming of dragons to Nirn. And as the game begins fledgling dragons have already made their way into the world.
And, of course, that's where you come in.