A catalogue lists the holdings of an organization, typically a library, and provides a means to search those holdings. Indexes usually provide an access point to information within a larger publication.
So, for instance, a catalogue can tell you whether or not a library collects a particular magazine. An index will tell you whether a particular article was published within that magazine and how to access it. However, recent innovations - like our Library Search tool that look through many online collections at once, and the growth of full-text e-books and e-journals - have blurred the distinction between catalogues and indexes.