Whatever he is, he's . . . something else. With his dimension-jumping, his disappearing trick at the end . . . I don't think he's just human. But what exactly he is, I have no clue. He obviously doesn't have enough power to just use it to get Majora's Mask back, he still has to rely on Link to do that. So I don't think he is a god, and I don't think he is immortal, either. How about . . . messenger of the gods? Or servant? He could have been sent by the gods (or giants, as it were in MM), to get back Majora's Mask, and since he couldn't do that himself, he sent Link to do it. Then at the end, it wasn't his power that made him disappear, it was the power of the gods summoning him back. What he was doing in Ocarina of Time, I have no idea. That's really far fetched, but it's all I could come up with; we really don't have any indication of who or what he might be, he is just meant to be a mysterious character, and he definitely is.