This little query will return the three columns: table_name, column_name and index_name (if there is no index then it will be null).
select
ic.table_name, ic.column_name, iss.index_name
from
information_schema.columns ic
inner join
information_schema.tables it ON it.table_name = ic.table_name
and it.table_type = 'BASE TABLE'
left join
information_schema.statistics iss ON iss.column_name = ic.column_name
group by ic.table_name , ic.column_name
order by ic.table_name;