We show that existing upsampling operators in convolutional networks can be unified using the notion of the index function. This notion is inspired by an observation in the decoding process of deep image matting where indices-guided unpooling can often recover boundary details considerably better than other upsampling operators such as bilinear interpolation. By viewing the indices as a function of the feature map, we introduce the concept of 'learning to index', and present a novel index-guided encoder-decoder framework where indices are learned adaptively from data and are used to guide downsampling and upsampling stages, without extra training supervision. At the core of this framework is a new learnable module, termed Index Network (IndexNet), which dynamically generates indices conditioned on the feature map. IndexNet can be used as a plug-in, applicable to almost all convolutional networks that have coupled downsampling and upsampling stages, enabling the networks to dynamically capture variations of local patterns. In particular, we instantiate and investigate five families of IndexNet. We highlight their superiority in delivering spatial information over other upsampling operators with experiments on synthetic data, and demonstrate their effectiveness on four dense prediction tasks, including image matting, image denoising, semantic segmentation, and monocular depth estimation. Code and models are available at https://git.io/IndexNet.