@JudyL the skin on your eyelids is the thinnest skin on your face and it's extremely susceptible to irritation and allergies. After being allergic to random eyeshadows for months I finally figured out what I was allergic to, it turned out to be talc.
Mica is the most common ingredient in all shimmer eyeshadows but it's usually not very allergy producing, but because of its sharp edges it can be an strong irritant. Testing the eyeshadows on other areas of your body won't help because the skin is too thick. I would look at the first five ingredients in the eyeshadows that bothered you today and see which ingredients they have in common. If it's Mica you're probably being irritated by it, if a common ingredient is something else it could be a true allergy.
Once you have an allergy it will not go away, especially on the thin delicate skin of the eyelids.