Welcome to the forum!
I'm not currently doing much formal composing, but I have done a little in the past, am constantly having it brewing in the back of my mind, and plan to do more in the future. So, what I say is just friendly suggestion from an interested-in-composing person.
"Linking the movements" implies that it's some kind of sonata form, which as a past form had fairly specifics. However, even if you are not aiming to be following a particular form, what carries over from past forms is that within what they were writing, their aim at the end of one movement would be to stage or set up the movement to follow. Personally, if I were to write a multi-movement work, there would need to be a very good musical and personal reason for it to have separate movements vs. being put together as a whole. One of the biggest reasons for a "breath" between them would be to give the listener an opportunity to really take in the ideas they just heard/experienced, catch a breath, and prepare themselves for the ideas to come; sometimes this break between movements is not given in the same way and it is directed by the composer to go straight from one movement to the next via an "attacca" - but, whatever the decision, there needs to be a musical and personal reason. And, that reason should be to elucidate the ideas most clearly.
A question I might ask myself:
Does each movement express a complete idea in and of itself, and/or provide a compliment for the other movements? If not, think about why, if so, but you're still feeling uncomfortable with where it's at, clarify you're ideas and in what ways one idea leads to and/or highlights the next (and previous).
In some sense, I believe that every piece of art is something like the figure already being within the stone in sculpturing. In that sense, sometimes we just need to really rest our thoughts and being and listen to the silence for inspiration. If anxiety about what to do next and some kind of barrage of trying to figure out what sounds should come next is filling your thoughts, then it's more difficult to hear what very well may already be there!