In The Legend of Zelda: Ocarina of Time, Sheik claimed to be a surviving Sheikah. However, this was just a cunning disguise for Princess Zelda so that she could escape Ganondorf. In Smash Bros., she's the complete opposite of Zelda, striking with fast attacks that can keep an opponent off balance.
Sheik's Burst Grenade side special throws a small grenade that draws in nearby fighters before exploding. Once the button has been released, it'll hop or explode after a time. The down special Bouncing Fish is an attack where Sheik strikes with both heels, falling similarly to the way a fish might flop around.