Just wanted to add this because none of the above solutions worked if target link is directory with spaces in it's name. If target link is a directory and it has space then even escaping space with \ doesn't render the link on Github. Only solution worked for me is using %20
for each space.
e.g.: if directory structure is this
Top_dir
|-----README.md
|-----Cur_dir1
|----Dir A
|----README.md
|----Dir B
|----README.md
To make link to Dir A
in README.md present in Top_dir
you can do this:
[Dir 1](Cur_dir1/Dir%20A)