Sven - why not use arrayfun to apply a function to each element in the array. In this case, your function would create a struct with a single field called index where its value is assigned its position/index within the array. The following should do what you require
myStructArray = arrayfun(@(x)struct('index',x),1:10)
Note how the first input to arrayfun is the function that creates the struct given an input parameter. The value of each parameter is determined from the second input to arrayfun - an array of indices from one to ten.
Try the above and see what happens!