Provided are a computer program product, system, and method for building a metadata index from source metadata records when creating a target volume for subsequent metadata access from the target volume. A copy operation is initiated to copy the source volume to the target volume, wherein the target volume is created with a target volume name different from a source volume name of the source volume. Source volume metadata having records including information on data sets in the source volume is copied to target volume metadata. A metadata index is generated indicating locations of the records in the target volume metadata having information on the data sets in the target volume. The metadata index is used to access the records in the target volume metadata when accessing data sets in the target volume.