How to link a bitcoin address to a wallet address? BitGo has a feature where you can have multiple addresses under a wallet. The wallet also has its own address. Now suppose I have two addresses under my wallet. This means for any user to send me BTC, I can give one out of any three addresses which is 2 addresses + 1 wallet address. 

How is that even possible to link two bitcoin addresses?
The wallet is simply a logical separation (or group, in this case). It simply means that multiple keys are kept in the same wallet.

As far as the blockchain is concerned, there is no wallet, just a set of output scripts, controlled by private keys.