I use Visual Studio with DiretX XNA math library. Now, I use GNU compiler collection, so I cannot use XNA. Your library seemed me a pretty good with a great documentation. I have written my custom example to test library. This is glut (OpenGL) loop with hard-coded loop inside. Custom math classes give me 17 FPS, XNA - 35, your library - 3. How could it be, explain me please.

First question: are you compiling with optimization enabled? (e.g., -O2) Without -O2, yes Eigen is slow.

I add Eigen headers and that is it. Where I could find Eigen settings?

it's not an Eigen setting but a compiler flag for GCC.