See https://sites.google.com/site/alexeyvakimov/mini-tutorials/programming-boost-python-c/cmake-tutorial for more details.

1: Download and unzip Eigen to a global directory EigenDir, e.g. ~/dev/libs/eigen-x.x.x.

2: Add following line right after project(Eigen3) in <EigenDir>/CMakeLists.txt:

set (CMAKE_INSTALL_PREFIX ${PROJECT_SOURCE_DIR}/_install)

3: build and install the eigen library (in <EigenDir>):

mkdir _build
cd _build
cmake ..
make
make install

4: Add following lines to your project’s CMakeLists.txt file:

cmake_minimum_required(VERSION 3.18)
project(project_name)

set(CMAKE_CXX_STANDARD 14)

include_directories(<EigenDir>/_install/share/eigen3)
find_package(Eigen3 3.3 REQUIRED NO_MODULE)

add_executable(project_name main.cpp)
target_link_libraries(project_name Eigen3::Eigen)