To improve the spectral efficiency (SE) of multi-carrier modulation based on prolate spheroidal wave functions (PSWFs), a novel PSWFs multi-carrier modulation method based on signal grouping optimization is proposed. The proposed method performs group optimization on PSWFs signals, and conveys information by index modulation (IM) and pulse amplitude modulation (PAM), which can improve SE on the premise of ensuring high energy aggregation of the modulation signal. Firstly, according to the number of PSWFs signal and packets, the proposed method selects high-energy aggregation PSWFs signals to ensure that the signal waveform has high energy aggregation. Secondly, the proposed method adopts I/Q independent branches, and uses IM and PAM for information loading, which aims to increase the number of modulation symbol combinations and improve SE. Theoretical and simulation analysis shows that, compared with the multi-carrier orthogonal and non-orthogonal modulation based on PSWFs, the proposed method can effectively improve the system SE without significantly reducing the signal energy aggregation and peak-to-average power ratio. Furthermore, compared with the classical orthogonal frequency division multiplexing with IM (OFDM-IM), the proposed method has higher SE and bit error ratio performance.