Are you using virtual storage similar to Azure's Blob storage or a CDN? If so there could very well be some lock files causing the indexes to not build or rebuild. Take a look in this directory for lock files
/App_Data/CMSModules/SmartSearch and in the SmartSearch directory there is typically a lock file. Then in the same directory there are sub directories for each smart search index you have, there are lock files in there as well.
If you find them delete them, all of them and rebuild your indexes one at a time. Be patient because it could take a while.
If you've never got them to build and there are no sub directories for each smart search index you have then there are most likely permissions issues. The directory I mentioned above needs read/write permission.