The currently accepted answer by @Paebbels is now outdated and suboptimal since Sphinx enabled the toctree directive to recognise genindex, modindex, and search directly, available starting with Sphinx 5.2.0 (listed as #10673).

Especially considering Sphinx explicitly advises against creating files with those special names.

Without creating the name-conflicting files, write the toctree as such:

.. toctree
   :caption: Appendix

   genindex

Credit goes to @funky-future self-answering on 2023-04-09 on the linked issue from the question comments above. I found this question before that one and almost ended up using the approach here, so I felt I should preserve this new approach here as well for posterity.