You can wrap your component in the test with the StaticRouter to get the router context into your component:
import React from 'react';
import renderer from 'react-test-renderer';
import { Link } from 'react-router-dom';
import { StaticRouter } from 'react-router'
test('Link matches snapshot', () => {
const component = renderer.create(
<StaticRouter location="someLocation" context={context}>
<Link to="#" />
</StaticRouter>
);
let tree = component.toJSON();
expect(tree).toMatchSnapshot();
});
Have a look at the react router docs about testing