I thought someone asked similar question before? Anyway, everyone reacts to different thing, so unfortunately you won`t know which exact ingredients you`re allergic to unless you ask your GP to do allergy test.
Do the cleansers and moisturizers you use contain salycilic acid/glycolic acid/AHA/BHA? They tend to burn the skin if it has high concentration of acid, if you leave them too long on the skin, or if your skin are not used to them. You have to introduce products with those “”acidic”” products slowly to your skincare routine. Example, use the cleanser once daily, after 1 week then do it twice/day, after 2 weeks use the moisturiser every other night, after 1 week of this then do it every night, do another week of the routine and then introduce it in the morning every other day, before finally use the day moisturiser every day. Hope it makes sense.
Another ingredient that`s could “”burn”” the skin is benzoyl peroxide.
Always remember that expensive does not equal good. Also note that definition for “”sensitive”” skin varies. You have to know the difference between “”sensitive”” and “”sensitized”” skin. Do search on Bh, there was a past article that tells you the difference.