They DO link together. There is a link piece you screw onto each chunk of the sectional and that allows you to link each piece to the neighboring piece. It works rather well, surprisingly well, to be clear. The piece you screw on is a hook that goes under the frame of your piece and allows the frame of the next piece to be lowered into, thus linking the pieces together. Just decide if you want all the pieces to link on the left or the right and assemble accordingly. (Don’t attach the link on the final piece of the chain!)