Two and a half weeks ago, we brought Eva into our household. She's about 2 years old, according to the vet, and had been living in our garden (and being fed by us) for nearly a month before we brought her into the house. Since they'd already done a lot of scent swapping because she'd been lying on the towels we take in the garden, and Sam and Milly had been lying on them when we brought them in, and Sam had also "met" her from a few feet away in the garden, we kept them separated for a couple of days until she seemed settled and ready to come out of her room, then started introductions.

It all went pretty well really. There was a bit of nose and bottom sniffing, scowling, occasional hissing, but for the last couple of weeks they've mostly all ignored each other, which is what we're used to because Sam and Milly have always ignored each other most of the time, with occasional squabbles (usually over a favourite chair). Sam's been a bit out of sorts because he's a real "Mummy's boy", but I've given him lots of fuss, and he's pretty much back to normal now.

We started out keeping Eva separated from the others when we went out, then progressed to keeping Sam separated (since he was the one who showed signs of being displeased with Eva's arrival), but letting Milly and Eva share the same space.

We came back from about 3 hours out today to find Eva quite anxious and unsettled, hiding behind furniture, and then disappearing upstairs for a couple of hours. Then I noticed a clump of Milly's fur on the floor that definitely hadn't been there earlier. It reminded me that I came down yesterday morning to find fur on the dining table - more fur than could be explained by a cat on there grooming itself - that could have been either Milly's or Eva's.

Is this a sign that Milly is bullying Eva when we're not around?

Obviously, whatever happened today, Milly came off worse because it was her fur lying around. But Eva was the one showing signs of stress when we got home.

Does anyone have any idea what could be going on?

All they do when we're around is give each other plenty of space. I haven't seen any signs of aggression from any of them.

if neither is injured - may just be territorial - have you tried feliway?