I have submitted a sitemap index file (one that links to other sitemaps that contain the actual URLs search engines are instructed to crawl). It is GZip compressed.
Using the Yandex sitemap validation tool it tells me it is valid and has 202 links and no errors.
However, in Yandex Webmaster it shows up with a small, grey sign in the status column. When clicked it says 'Not indexed'.
Yandex is not indexing the URLs provided in the file, which are all new. Though it states it has consulted the sitemap.
Any ideas what may be wrong?
In this case my sitemaps were blocked from Yandex Bot. Make sure your sitemaps can be crawled with their robots.txt analysis tool. The sitemap validator will say they are good and they don't show an error if they are not crawlable.