An indexed sequence of strings is a data structure for storing a string sequence that supports random access, searching, range counting and analytics operations, both for exact matches and prefix search. String sequences lie at the core of column-oriented databases, log processing, and other storage and query tasks. In these applications each string can appear several times and the order of the strings in the sequence is relevant. The prefix structure of the strings is relevant as well: common prefixes are sought in strings to extract interesting features from the sequence. Moreover, space-efficiency is highly desirable as it translates directly into higher performance, since more data can fit in fast memory. We introduce and study the problem of compressed indexed sequence of strings, representing indexed sequences of strings in nearly-optimal compressed space, both in the static and dynamic settings, while preserving provably good performance for the supported operations. We present a new data structure for this problem, the Wavelet Trie, which combines the classical Patricia Trie with the Wavelet Tree, a succinct data structure for storing a compressed sequence. The resulting Wavelet Trie smoothly adapts to a sequence of strings that changes over time. It improves on the state-of-the-art compressed data structures by supporting a dynamic alphabet (i.e. the set of distinct strings) and prefix queries, both crucial requirements in the aforementioned applications, and on traditional indexes by reducing space occupancy to close to the entropy of the sequence.