With these types of phrases, the only difference is generally due to context. The focus of what you are puzzled/confused about is what determines which you use. However, given that it's such a generic distinction, you can use any of the three without concern. It, for most English speakers, comes down to what "sounds" the best. In that sense, the most correct phrase is "to be puzzled about" something. Something confuses you. They all mean the same thing in the end. Let's look at "mad/angry" for example: I'm mad about an event that occurred in the past. I'm mad at a person for being mean to me. I'm mad with all of this craziness going on in the world. This particular context is the most iffy. Stick to "about" generally.