Usually they're all independent of each other, effectively occupying their own distinct realities, except when they do crossover specials/movies and treat them as a shared universe. The connecting threads are more thematic and stylistic. Kamen Riders are lone heroes (though they usually end up partnering with other Riders), they tend to have big-eyed, vaguely insect-themed costumes (although the latter part has become increasingly optional), they ride motorcycles (though less so in recent years due to stricter laws in Japan about motorcycle customization), they tend to get their powers from the same source as the villains or a related source, and their shows tend to be a bit more mature, dark, and morally ambiguous than Super Sentai. The 21st-century shows generally have serialized arcs and evolving storylines, new Riders are introduced over the course of the season, allegiances shift, enemies become allies and vice-versa, etc.
The Showa-era seasons, i.e. the shows in the 1970s-80s, shared a single reality and often brought back past Riders to team up with the new lot. The original run had the same mentor character continuing through all five series (played by the actor who was the original Ultraman defense force captain), and the next two series when it was revived also had a common mentor (who was the captain in The Return of Ultraman), while the two after that (Black and Black RX) were unique in having the same lead character. When the show was brought back in 2000, each season was in its own separate reality for nearly the first decade, but after that they started to do regular crossover movies and specials and treat it as a shared universe, but the main shows still told their own independent stories, generally unconnected to the past except in anniversary seasons.
Since Zeztz is the first season to be officially simulcast in the West, it's designed to be accessible to newcomers, so I doubt it will have much connection to previous series.
