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You selected the issue: PlayStation 4 Controller

To pair the PS4 controller wirelessly with the Steam Link:
  1. Using another input device (wired mouse or controller), go to the Bluetooth settings
  2. Simultaneously hold the PS and Share button on the PS4 controller until it enters pairing mode and starts flashing
  3. Find Wireless Controller of type gamepad in the bluetooth device list
  4. Press the (A) button to pair with the PS4 controller