Dora has Down Syndrome
It is believed that the Nick Jr. star, Dora the Explorer, has Down Syndrome, and that she also has hydrocephalus, which explains her uniquely large head. Dora's also believed to speak about three times louder than the other characters in the series, because of her mental disability. She also suffers from classic ADHD, which is why she can't remember what map told her three times. Boots is actually her guiding animal, and the yellow bracelet on Dora's wrist is actually a tracking device that would serve as a means of finding her if she were ever to get lost.
Dora's parents are dead and were involved in the cartel
It could also be said that Dora has actually been orphaned by her parents and (possibly) taken by the cartel. In the show, Dora's parents hardly ever show up and anyways, what parent would leave their four year old alone and allow them to stray so far from home. The cartel comes into play because it could be believed that Dora's parents were drug addicts who bought from various cartel members and that they sold Dora into the cartel for their last drugs, the drugs they used to overdose. This would also explain why we see Dora outside so much. Theoretically, soon after her parents left Dora for dead on the streets, little Dora escaped the cartel and has been on the run ever since. The map she has is ultimately supposed to lead her to safety, but because she's 4 years old, Dora can't read the map that asks her where to go. Due to her mental illnesses, she just imagines the map speaking to her.
To cope with the horrible loss of her parents that she witnessed, she has become an everyday user of crystal meth, heroine, and the occasional LSD. The explorer part of her name is a reference to her readiness to explore all kinds of drugs.
Dora has dementia or schizophrenia
It could be noted that Dora has schizophrenia or early onset dementia. In every episode, she talks to the audience, who is not present in the show’s universe. The audience could be a part of a hallucination that she is the star of her own show. Boots, her monkey sidekick, talks and interacts with her like a human would. Since monkeys cannot talk and act exactly like a human, this could be another one of Dora’s delusions. Dora thinks she is wandering around the world, but she in her own fantasy world that she has made up. In another episode, she claims that she could see Africa from her Mexican home. In reality, Africa would be too far away for her to see. This could mean she has problems with seeing the relative length of objects, and is imagining Africa from information she has previously processed. She introduces herself in every episode, even though she has already met the “audience” before. It could be possible that she has schizophrenia or dementia, and everything in the series is just a fantasy made up in her head. Dora also starts with a D, and dementia starts with a D.
Dora is also apart of the black Canadian mafia
Boots is actually her parole officer and is trying to get her out of the black Canadian mafia and into the witness protection program.
Dora the Explorer is actually a computer game
This is one of the most interesting and believable theories. It states that Dora the Explorer is actually a computer game, not a TV show. Firstly, in the intro of Season 1 and 2, there is a scene that shows the camera moving through an empty room into a computer screen. That's because everyone had long died and Dora, once a video game character, gained sentience along with all the other characters. Then there's the fact that the Grumpy Old Troll always asks Dora to solve his riddles, similar to how computer games require the player to do a certain task to enter a new area. Then there's the most memorable part: the cursor. Whenever Dora asks the audience to find an object, a blue arrow points at the object, lights up, and makes a short sound, similar to how real-life mouse cursor works. This is because the computer itself, not just the files stored in it, became alive, and the mouse and cursor became avid players of the game and made friends with the characters.
Additionally, but probably unrelated - "I need healing".