In this paper, an effective self-interference (SI) cancellation scheme operated in the digital domain is proposed for the newly-emerging spatial modulated full duplex (SMFD) system. In the proposal, the SMFD receiver performs the SI cancellation through a combination of signals received in successive time slots by resorting to the properties of the SMFD system, i.e., the SI channel is reciprocal and the transmitted data is known by both the transmitter and the receiver. To achieve the ultimate performance of the proposal, however, the transmitted symbols need to be rotated and the number of time slots involved in the SI cancellation has to be carefully chosen to balance the receiver complexity and the system performance. These issues are also discussed in great detail. Monte-Carlo simulations on the error-free information transmission capability of the SMFD system with the proposed SI cancellation scheme over Rayleigh fading channels are conducted and advantages are revealed.