Took me way too long to find an answer that actually worked for me. See below.

df = df.rename_axis(None, axis=1)

I'm sure some of these other answers are working for other people, but they definitely didn't work for me :(

you need change the name of columns, not index!

df.columns.name=''

Example to understand it:

df=pd.DataFrame()
df['a']=[1,2,3]
df.columns.name='name column'
df.index.name='name index'
df

Output:

name column  a
name index  
0            1
1            2
2            3

Now doing:

df.columns.name=''

Output:

           a
name index  
0          1
1          2
2          3