We study the depletion-induced self-assembly of indented colloids. Using state-of-the-art Monte Carlo simulation techniques that treat the depletant particles explicitly, we demonstrate that colloids assemble by a lock-and-key mechanism, leading to colloidal polymerization. The morphology of the chains that are formed depends sensitively on the size of the colloidal indentation, with smaller values additionally permitting chain branching. In contrast to the case of spheres with attractive patches, Wertheim's thermodynamic perturbation theory fails to provide a fully quantitative description of the polymerization transition. We trace this failure to a neglect of packing effects and we introduce a modified theory that accounts better for the shape of the colloids, yielding improved agreement with simulation.