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This is kind of a general DB design question. If one has an associative entity table, i.e. a cross-reference, containing records that basically just consist of two FK references, should it be indexed in some way? Is it necessary to explicitly index that table, since the PKs in the associated tables are already indexed by definition? If one should index it, should it be a combination index, consisting of the two FK fields together?
Indexes on the referenced pk columns in the other tables do not cover it.
By defining the two fk columns as composite primary key of the “associative entity” table (as you should in most cases – provided that associations are unique), you implicitly create a multi-column index.
That covers all queries involving both or the first columns optimally.
It also covers queries on the second column, but in a less effective way.
If you have important queries involving just the second column, create an additional index on that one, too.
Read all the details about the topic at this related question on dba.SE.
Or this question on SO, also covering this topic.