Natural eyeshadows can be made with turmeric, beet juice, spirulina and cocoa powder. I found an introductory article here at One Green Planet
Eyeshadows all start with a base that acts as the filler. Some common fillers are talc and mica. Then the eyeshadow needs a binder to keep all the ingredients together and to allow the products to glide easily over your skin. Zinc, Magnesium, silica, nylon,dimethicone, boron nitride, kaolin and bismuth oxychloride. Next a preservative is needed so that bacteria and fungus doesn't grow. A natural preservative is vitamin E or propylene glycol. The other preservatives are the paraben group (methylparaben, butylparaben, etc). A creme shadow uses oils and waxes, once these dry they help bind the materials together even better. They are added with the base step. Some common ingredients that help cream the eyeshadow are Beeswax, castor oil, jojoba oil, shea butter, and silicone.
Overview of Eyeshadows: WebMD.
This is another good article on the basic ingredients found in eyeshadows from the Chemists Corner.