Right at the beginning of Cadence of Hyrule - after you get through the basic tutorial - you find Link and Zelda, sleeping in beds, visible through portals to another dimension (spoiler: It's Hyrule). As Cadence, you have to pick one of them at the start, which is who you'll play as when you venture into Hyrule for the first time. But the question remains: should you pick Link or Zelda in Cadence of Hyrule? If you've already chosen, check out our Cadence of Hyrule tips here or find out how to get through the Cadence of Hyrule Lost Woods.
We'll give it to you straight; it doesn't really matter whether you pick Link or Zelda. Link begins the game inside his house, found in the grassland area of the map, while Zelda starts off by leaving Hyrule Castle as her father is put to sleep. Both characters play largely the same, except Link has a spin attack and a shield, while Zelda has an ethereal block and a fireball. They can both use the same sort of common weapons and items, and neither has a notable difference other than where you start the game.
Eventually, when you explore enough of the map, you'll find the character you didn't choose asleep in a house in Kakariko Village. You need to obtain the Hibiscus Potion to wake them up, which is found in the crypt underneath the graveyard. When you do, you can switch between the two characters at any Sheikah Stone at will. It's really not worth dwelling on which character to choose for too long, since at the very end of the game you're required to use both when you get back to Hyrule Castle.