I have followed the standard procedure for obtaining and installing Eigen on my system (OSX 10.10):

wget http://bitbucket.org/eigen/eigen/get/3.2.4.zip
unzip 3.2.4.zip
cd eigen-eigen-10219c95fe65/
mkdir build && cd build
cmake ../ && make install

I find that the directory /usr/local/include/eigen3/unsupported/Eigen/src/LevenbergMarquardt is missing.
The same behaviour occurs if I try to install eigen3 from Homebrew (brew install eigen)

Am I doing something incorrectly, or is this a bug in the CMake or Makefile?

Fixed in 3.2.5 version: http://bitbucket.org/eigen/eigen/get/3.2.5.tar.bz2