Word and document embedding algorithms such as Skip-gram and Paragraph Vector have been proven to help various text analysis tasks such as document classification, document clustering and information retrieval. The vast majority of these algorithms are designed to work with independent and identically distributed documents. However, in many real-world applications, documents are inherently linked. For example, web documents such as blogs and online news often have hyperlinks to other web documents, and scientific articles usually cite other articles. Linked documents present new challenges to traditional document embedding algorithms. In addition, most existing document embedding algorithms are unsupervised and their learned representations may not be optimal for classification when labeling information is available. In this paper, we study the problem of linked document embedding for classification and propose a linked document embedding framework LDE, which combines link and label information with content information to learn document representations for classification. Experimental results on real-world datasets demonstrate the effectiveness of the proposed framework. Further experiments are conducted to understand the importance of link and label information in the proposed framework LDE.