1. I was confused by what to do.

Question

2. I was confused at what to do.
3. I was confused over what to do.
4. I was confused about what to do.
5. I was confused what to do.

6. I was puzzled by what to do.
7. I was puzzled at what to do.
8. I was puzzled over what to do.
9. I was puzzled about what to do.
10. I was puzzled what to do.
[Do you mean #5 and #10 are ungrammatical? What about the others? Which prepositions do we have to use?]

Answer 1

4 and 9 are best.

1 and 5 would be better if they were written like this:

I was confused by her actions.
(Her actions caused my confusion.)

I was puzzled by the teacher's reaction.
(The teacher's reaction caused my puzzlement.)

I wouldn't use 5 or 10. The others are OK, but not the best.