In Skyward Sword, she's actually busy evading and escaping Ghirahim (with Impa's help), purifying herself in the springs, and basically leading Link around to where he needs to be, until she seals herself in that crystal to keep the Imprisoned sealed. She's only ever in real mortal peril when she wakes up and Ghirahim steals her soul.
In Ocarina of Time, she manages to evade Ganondorf for seven years, and in the guise of Sheik, guides Link to the temples. She only gets kidnapped after she reveals herself.
In Wind Waker, as Tetra, she helps Link on more than one occasion (launching him into the Forsaken Fortress, letting him take their bombs for free basically, saving him from Ganondorf in the Forsaken Fortress), and only loses agency after it's revealed she's Zelda. To be fair to her though, she does help Link fight and ultimately defeat Ganondorf, which is pretty cool.
Twilight Princess Zelda saves Midna, and even though Ganondorf turns her into a puppet for a brief time, once she's free of him, she also helps Link fight him.
Spirit Tracks Zelda is probably the most helpful, given that she's basically a ghost who can possess a suit of armor and help Link fight and get across obstacles he couldn't on his own.
And then of course there's that time she went to Gamelon and saved Link and her father, but we don't talk about that.
Of course, sometimes, even when she seems to be the damsel in distress, she still manages to find a way to fight back-- giving Link the Light Arrows in ALBW even though she's a painting at the time, keeping Calamity Ganon imprisoned for 100 years while Link revives, giving up her humanity to become a dragon so she can power up the Master Sword into a Ganondorf-slaying weapon.