Why does wget only download the index.html for some websites?

I'm trying to use wget command:

wget -p http://www.example.com 

to fetch all the files on the main page. For some websites it works but in most of the cases, it only download the index.html. I've tried the wget -r command but it doesn't work. Any one knows how to fetch all the files on a page, or just give me a list of files and corresponding urls on the page?