You can map arbitrary matrices between Eigen and OpenCV (without copying data).
You have to be aware of two things though:
Eigen defaults to column-major storage, OpenCV stores row-major. Therefore, use the Eigen::RowMajor flag when mapping OpenCV data.
The OpenCV matrix has to be continuous (i.e. ocvMatrix.isContinuous() needs to be true). This is the case if you allocate the storage for the matrix in one go at the creation of the matrix (e.g. as in my example below, or if the matrix is the result of a operation like Mat W = A.inv();)
Example:
Mat A(20, 20, CV_32FC1);
cv::randn(A, 0.0f, 1.0f); // random data
// Map the OpenCV matrix with Eigen:
Eigen::Map<Eigen::Matrix<float, Eigen::Dynamic, Eigen::Dynamic, Eigen::RowMajor>> A_Eigen(A.ptr<float>(), A.rows, A.cols);
// Do something with it in Eigen, create e.g. a new Eigen matrix:
Eigen::Matrix<float, Eigen::Dynamic, Eigen::Dynamic, Eigen::RowMajor> B = A_Eigen.inverse();
// create an OpenCV Mat header for the Eigen data:
Mat B_OpenCV(B.rows(), B.cols(), CV_32FC1, B.data());
For multi-channel matrices (e.g. images), you can use 'Stride' exactly as Pierluigi suggested in his comment!