Midna first appeared in The Legend of Zelda: Twilight Princess. In the game, she is a resident of the Twilight Realm. At a certain point in Twilight Princess she decides to team up with Link to fight a greater evil that she cannot overcome alone. Zant turned Midna into the monster to prevent her from retaking the throne and as punishment for defying him.
Later in the game, it is revealed that she is the princess of the Twilight Realm.
"A mysterious masked being. Midna was a princess in the Twilight Realm who was transformed into an imp by Zant. Midna's personality is characterized by a sharp tongue and a tendency to act on whims. Midna pairs with Link to save the world. She also possesses powerful magic skills, such as the ability to warp through space."
Super Smash Bros. for 3DS/Wii U
In the Wii U version, she's in the Twilight Princess trophy box
"Midna is a descendant of the Twili and comes from the Twilight World. She doesn't mind getting a bit bossy with Link, and though she offers to help him, her motives are unclear. Try to ignore her dismissive attitude—maybe she just has trouble showing her true self."
"A girl from the Twilight Realm who seems to look down on the world from a very high horse. She helps Link while he's a wolf, but it's clear she has some kind of ulterior motive. Still, there's more to her than meets the eye, and she and Link eventually come to understand one another."