----Plot Spoilers from Ocarina of Time---- (skip to bottom to avoid the story of Ocarina of Time)
After you collect all the Spiritual Stones and head back to the Temple of Time, Zelda is seen riding off with Impa, her servant. Ganon is close behind and after a few words, continues his pursuit. After obtaining the Ocarina that Zelda throws and using it to gain access to the Sacred Realm Link is essentially put into stasis until he is old enough to wield the Master Sword, this is also when he meets Sheik.
Sheik claims to be from the clan known as Sheikah, who have sworn their loyalty to the royal family. Sheik aids Link as he begins freeing the Sages in the various temples around Hyrule. When he has freed all but one, Sheik tells Link about Ganons attempt to steal the Triforce, but he was unsuccessful and it broke into 3 pieces, Power, Wisdom and Courage, and sought the people who most represented that trait. Ganon retained the Triforce of Power and Link obtained the Triforce of Courage. The final piece resided in the Princess of Hyrule, Zelda.
Sheik then raises his hand to reveal the Triforce, the light shines and in a flash Sheik is revealed to be Zelda. She explains that she deceived Link in order to hide from Ganon, who had been looking for her to steal the Triforce for 7 years. She learned the ways of the Sheikah from Impa, her servant, who was also a Sheikah.
----END PLOT SPOILERS----
Yes, Zelda is Sheik, she uses this disguise in order to hide from Ganon and continues to try and free Hyrule from his clutches, as well as aid Link when she is able to. It is not known how she hides her femininity, as her figure changes drastically when she is Sheik. Some say she uses bindings (to hide her chest) and shoulder pads (to make her appear to be a male).
If you wear the Mask of Truth and speak to a Gossip Stone, you may get this message, ‘They say that, contrary to her elegant image, Princess Zelda of Hyrule Castle is, in fact, a tomboy!’