The easiest way to connect a person to a Bitcoin wallet, is by just looking whether said person has ever shared his wallet address online.
Then you just connect whatever profile to a physical person. It's easy if people just use the same username for everything or if they reveal an email address.
Governments can also subpoena exchanges to hand over user data. Maybe they don't even have to issue an actual subpoena, not sure about that.
They just follow the transactions to an exchange.
I'd really recommend reading through this:
https://bitcoin.org/en/protect-your-privacy Feel free to correct any mistakes I might have made.