Buy select mica powders. Mica powder for make-up is a fine mineral powder that is sold online, in beauty supply stores, and even in some specialized big box stores.
Mica powder comes in a variety of colors, some shiny, some not, and in different sizes. While you can use just one color of mica powder to create eyeshadow, you can also mix multiple different mica powders to create a one-of-a-kind eyeshadow.
Make sure to only buy mica powder that is used for cosmetic purposes and that is safe to use near the eyes.
Make loose powder eyeshadow. To create a loose powder eyeshadow, you need to mix in some selected mica powder until you get the color you like.
For example, if you wanted to do a warm fall eyeshadow collection, you could mix light brown, dark brown, gold, cream, and orange mica powders. If you want a shimmering aquamarine-like eyeshadow, you can mix blue, green, and silver mica powders.
To get a consistent color, you'll need to measure out equal amounts of each mica powder. For this, you can use the 15cc tinted scoop or small measuring scoop that is usually sold with mica powder. It doesn't matter how much mica powder you use, what matters is that you use the same amount.
Put mica powder into an empty lipstick box (you can use an old washed lipstick box or buy it online) and stir well. Some people like to use a small herb box or coffee maker for this, but you can also use a spoon. Be sure to put the lid on when you're done because you don't want the powder to spill! 
Make powder eyeshadow. To make powder eyeshadows (like an eyeshadow palette), you need to follow the same steps as making loose powder eyeshadows, but with a few extra steps before you're done:
After mixing the mica powder to make the eyeshadow of your choice, you'll need to add a powder binder - this is usually a spray or liquid and can be purchased online.
Add the binder drop by drop (or one spray) to the mica powder mixture until the mixture becomes wet sand and has a consistent consistency.
Put the wet powder in an empty lipstick case, then put a tissue over the eyeshadow and place a coin on it (can be any coin, but it needs to be in the case).
Slowly press the coin to tighten the eyeshadow underneath. Keep doing this until the entire top of the eyeshadow is pressed down. Place the eyeshadow on the vanity and cover with a paper towel until the powder is completely dry. Once it dries, your eyeshadow is ready to use.