diff --git a/python/xorbits/_mars/dataframe/datasource/index.py b/python/xorbits/_mars/dataframe/datasource/index.py
index 30d97d6c4..e823d0bb7 100644
--- a/python/xorbits/_mars/dataframe/datasource/index.py
+++ b/python/xorbits/_mars/dataframe/datasource/index.py
@@ -65,7 +65,9 @@ def __call__(self, shape=None, chunk_size=None, inp=None, name=None, names=None)
                 None,
                 shape=shape,
                 dtype=self.dtype,
-                index_value=parse_index(self.data, store_data=self.store_data),
+                # `store_data=True` to make sure
+                # when the `to_pandas()` is called, we can get the actual pandas value.
+                index_value=parse_index(self.data, store_data=True),
                 name=name,
                 names=names,
                 raw_chunk_size=chunk_size,
diff --git a/python/xorbits/core/tests/test_execution.py b/python/xorbits/core/tests/test_execution.py
index 499d2db3a..010d9ea43 100644
--- a/python/xorbits/core/tests/test_execution.py
+++ b/python/xorbits/core/tests/test_execution.py
@@ -339,6 +339,36 @@ def test_getitem(setup):
     pd.testing.assert_frame_equal(result.to_pandas(), expected)
 
 
+def test_column_index_setitem(setup):
+    import pandas as pd
+
+    from ... import pandas as xpd
+
+    data = {"a": [1, 2, 3], "b": [4, 5, 6]}
+    df = pd.DataFrame(data)
+    xdf = xpd.DataFrame(data)
+
+    xdf.columns = xpd.Index(["c1", "d1"])
+    df.columns = pd.Index(["c1", "d1"])
+    pd.testing.assert_frame_equal(xdf.to_pandas(), df)
+
+    xdf.columns = ["c2", "d2"]
+    df.columns = ["c2", "d2"]
+    pd.testing.assert_frame_equal(xdf.to_pandas(), df)
+
+    xdf.columns = pd.Index(["c3", "d3"])
+    df.columns = pd.Index(["c3", "d3"])
+    pd.testing.assert_frame_equal(xdf.to_pandas(), df)
+
+    xdf.index = ["x1", "y1", "z1"]
+    df.index = ["x1", "y1", "z1"]
+    pd.testing.assert_frame_equal(xdf.to_pandas(), df)
+
+    xdf.index = xpd.Index(["x2", "y2", "z2"])
+    df.index = pd.Index(["x2", "y2", "z2"])
+    pd.testing.assert_frame_equal(xdf.to_pandas(), df)
+
+
 def test_execution_with_process_exit_message(mocker):
     import numpy as np
     from xoscar.errors import ServerClosed