There are many factors and reasons why your backlinks are not indexed, and there are several ways to index your backlinks.
1: Your Backlinks are Not Worthy of Indexing
2: Your Content is Very Thin and Plagiarised
3: You Are Creating Backlinks from Sites With No-Index Tag
4: Share Your Links on Social Media to Improve The Odds of Getting Indexed
5: Build Relevance Links on Authority Sites
6: Web 2.0s
7: Submit Your Sitemap to GSC