I had a similar problem running on Keynote 6.6.2 with links to websites not working when exported to PDF. The above answer worked: you have to ungroup assets in Keynote for the links to work in PDF.
I used keyboard shortcuts to do about 30 in 20 minutes time:
• Click grouped/linked asset: press ⌘ K to open Hyperlink option
• Cut the link from the URL bar with ⌘ K • Press Enter to leave the
• The group should still be selected; ungroup with
⌘OptionShiftG keyboard shortcut
• The ungrouped assets should be
individual now; with them still selected do the Hyperlink shortcut
again: ⌘ K
• Press the down arrow to select webpage to link to, vs
the slide number (in my case, or select whichever you were linking
to) press enter to select.
• Finally, press ⌘ V to paste in the
previous linked URL.
• Re-export as PDF from the File>Export option.
Every link should work now :)
Ta da! You just flew through the whole thing with the power of keyboard shortcuts!