Spatial modulation (SM) has been studied exten- sively to exploit multiple transmit antennas over a multiple-input multiple-output (MIMO) channel. Since one transmit antenna is used at a time in SM, there is no inter-channel interference (ICI), which results in a low detection complexity, while additional bits can be transmitted by the antenna selection. In this paper, we propose the signal dependent antenna (SDA) mapping approach for SM to achieve a mapping gain (at the cost of the throughput decrease) without any conventional channel coding schemes. Based on the performance analysis for SM, we derive design criteria for SDA mapping, and based on them, propose two specific mapping rules for 4 and 8 transmit antennas, which can provide asymptotic SNR gains of 4.77 and 6.98 dB, respectively.