Does Zelda Actually Appear in Majora’s Mask?

Yes, Zelda appears in Majora’s Mask, albeit only briefly. The Princess makes a very brief appearance during a flashback, in which Link remembers the events during Ocarina of Time. Aside from this very brief appearance, Princess Zelda doesn’t play any role in Majora’s Mask.

The moon and skull kid from Majora's Mask.