I had a similar experience with my first EMDR session. It was in the middle of a normal couples talk therapy session, our therapist said "You're standing on the edge of your unconscious. I want to try something", brought out the lights, gave me the instructions, turned them on, and I just started sobbing. I've always been one to seek a rational explanation for everything, so after she put the lights away, I was like "What the hell just happened?" and she gave me the background for how the therapy supposedly works.