What a sitemap index means
The sitemap protocol sets two ceilings for every file: 50,000 URLs and 50 MB uncompressed. A corporate site of two hundred pages never comes close to that boundary. A shop with a deep catalogue, a news portal with an archive or a property listings site breaks through it without effort, and then the file has to be split.
The difference from an ordinary sitemap lies in what each entry holds. In a normal sitemap, every url element describes a page of the site and its loc carries the address of that page. In an index, every sitemap element describes a file and its loc carries the address of that file. The crawler reading it therefore works in two steps: it downloads the index first and then each of the sitemaps listed.
Everything else is identical. The same XML namespace, the same mandatory UTF-8 encoding, the same rules for escaped entities. Google puts it bluntly: the requirements that apply to a sitemap apply to an index as well. That is why a malformed index fails just like a malformed sitemap, and why the 50 MB ceiling also applies to the index file itself.