I've had a few trials with my Yorkie, Bambi and my Papillon, Magic. They are both currently on Nature's Balance - Limited Ingredient Diet formula. There are grain free ones to avoid allergies.
Bambi has been very good with food, I know a lot of yories are finnicky. She eats everything and looks for more!
When I got her she was on Royal Canin. I wasn't pleased with it because it seemed greasy to me. Magic was on Proplan. He did well on it but we did have some anal gland issues. Then Bambi went on Innova, again it was ok but she had anal gland issues, lucky me right!
She had diarreha every once in a while and had me worried! She's so little to be sick like that!
We finally landed on NB - LID. Both my munchkins love it! There several "flavors" in Small Breed varieties. I get mine from Petco.
I agree with an earlier post mentioning it seems to be a lot of changing for such little ones. But you'll find a food for them I'm sure.