Why isn't Indigo soluble in water?
True, Indigo can form hydrogen bonds, but with what? Is it water? Nope.

It makes hydrogen bonds with itself.



This makes the molecule incapable of bonding with water. Not only that, but the molecule itself is quite symmetric, with oppositely oriented polar bonds, that cancel out each others' dipole moments. Notice the molecule's similarity to an ace of diamonds:



This type of symmetry is called center of symmetry as it is about it's center we can observe the symmetry.

So we got it, it can't associate itself with water, and it's nonpolar. What do we expect? It doesn't dissolve in water.