Druid doesn't have indexes as explicit objects like traditional RDBMSs do. Instead it stores data organized by time first, then secondarily by a method of your choosing. Following that, data is stored in columnar format with dictionary coding and compression used based on datatype.
There is some good reading material on this. I suggest you check out the following:
Basic segment partitioning info: https://druid.apache.org/docs/latest/ingestion/partitioning.html#time-chunk-partitioning
Imply Youtube channel 3-part series on seconary partitioning: