When you create the index, you can specify the file group that you want it be on. If you don’t specify where to create the index, it will be created on the same file group that the index’s table exists on.

Most system objects will be on the primary file group, but there are some system objects that will be on every file. For example GAM pages, SGAM pages, etc’ will be on every data file. System tables (such as sys.objects, sys.database_files, etc)’ will always reside on the primary file group.

Adi