This paper proposes a novel method to improve the anti−dispersion ability of the all−optical orthogonal frequency division multiplexing (AO−OFDM) system. By replacing the Sinc−shaped filter with a Gauss−shaped filter for sub−carrier generation and inserting a cyclic prefix (CP), the impact of dispersion on the system can be significantly mitigated. Formula derivation and numerical analysis of the pulse−shaping function of the AO−OFDM system in the time domain for each cycle indicated that the pulse−shaping function generated by the Gauss−shaped filter was less affected by the dispersion effect than that of the Sinc−shaped filter. Meanwhile, less inter−carrier crosstalk between carriers was also observed. After carrying out system transmission simulations employing these two different filters, we found that the AO−OFDM system based on the Gauss−shaped filter could greatly improve the anti−dispersion ability compared with the system based on a Sinc−shaped filter. When the parameter settings in both schemes were identical, that is, the number of subcarriers was 32 and the power of a single subcarrier was −13 dBm, the bit error rate (BER) of the system based on the proposed Gauss−shaped filter after 60 km SMF transmission was only 1.596 × 10−3, while the BER of the traditional Sinc−shaped filter based system scheme was as high as 8.545 × 10−2.