From a story perspective, I think its the sudden helplessness juxtaposed with being a direct sequel to OoT. Like you defeated ganondorf. you saved the world in two different timelines. You faced monsters and became the greatest swordsman in hyrule. And suddenly youre this small weak wooden creature that everyone dismisses and treats like a child. That mixed with being in an unfamiliar land gives a certain sense of hopelessness that majoras mask is really good at conveying.

From a gameplay perspective, I think its being introduced to the games core gimmick early on and given a small area to learn what abilities it has without it being shoved down your throat.