Execute the following Microsoft SQL Server Transact-SQL (T-SQL) script in Management Studio (SSMS) Query Editor, SQLCMD or other client software to find out which filegroup each index located in.

USE AdventureWorks
GO

SELECT [Object]=s.name+'.'+o.[name]
, ObjectType=o.[type]
, IndexName=i.[name]
, i.[index_id]
, [FileGroup] = f.[name]
, i.data_space_id
FROM sys.indexes i
INNER JOIN sys.filegroups f
ON i.data_space_id = f.data_space_id
INNER JOIN sys.all_objects o
ON i.[object_id] = o.[object_id]
INNER JOIN sys.schemas s
ON s.schema_id = o.schema_id
WHERE o.type not in ('IT', 'S')
and index_id != 0
ORDER BY ObjectType, [Object]
GO