Does Malaysia hospital keeps medical records, past thing, etc.?

Nope, patient needs to take the report from hospital A and hand it to another doctor in hospital B. Usually hospital B will do another full diagnose or test just to be sure on the patients conditions.

Are all the medical records from every government hospital linked? Eg. A dr in government hospital A can view the patient’s record from hospital B when the patient seek consultation at hospital A

Nope. Each hospital have different filing or record keeping system. Big hospital might use electronic records, but district hospital will use physical record.