Each game tells you where they are in the timeline in relation to the other games

They setup the new world in preparation for the main theme, sure. At its deepest level that was always just (up until Skyward Sword when Nintendo began monetising fan-created lore) the echo of a myth throughout time and reality. The fans so desperate to make a direct linear connection between the conclusion of one game and the traditional introductory cut-scene of the next are so far down their rabbit hole they seem completely unable to accept the much more logical explanation that it’s just a convenient way for Nintendo to recycle the same basic narrative structure that has been used in almost every single game.