Yes, it is normal to get headaches from eye makeup. This saying seems wired and no apparent direct connections between them. You might be intolerant to chemicals, or your makeup might be hypoallergenic, headaches, migraine, nausea and vomiting, rash and depression might be resulted. As you might know, there are many possible triggers of headaches. We are not sure which your case fit, for example, poor sleeping, some certain medication, or iron deficiency. My suggestion is if your makeup makes you feel very bad, take it off immediately with mild remover. Wash your face thoroughly with warm water. Have a good rest if you can, because usually headaches do not attack sleeping people. Apply some compress over front head or do some tender massages on head might help. If you still get headaches after a good sleeping, there might be some other underlying reasons of your headaches, such as a bad cold or trauma in head or neck, or some conditions related to blood vessels in head or neck. You can visit your doctor to have a detailed check. Finding out the underlying root can give you the trace leading to proper treatment. In most cases, headaches would disappear without treatment.