I link my different websites, am I going to be penalized?

It seems not. Anyway, not automatically.

Google has admitted that reciprocal links can be ‘made’ naturally on the internet.

What can be penalized (or devalued) would most certainly be a large-scale network of links seeking to manipulate the results of the search engines and to popularize a website in a fully artificial way.

SEOSoftware Oseox Monitoring