Automatic modulation classification (AMC) is one of the most essential algorithms to identify the modulation types for the non-cooperative communication systems. Recently, it has been demonstrated that deep learning (DL)-based AMC method effectively works in the single-input singleoutput (SISO) systems, but DL-based AMC method is scarcely explored in the multiple-input multiple-output (MIMO) systems. In this correspondence, we propose a convolutional neural network (CNN)-based cooperative AMC (Co-AMC) method for the MIMO systems, where the receiver equipped with multiple antennas cooperatively recognizes the modulation types. Specifically, each received antenna gives their recognition subresults via the CNN, respectively. Then, the decision maker identifies the modulation types with the recognition sub-results and cooperative decision rules, such as direct voting (DV), weighty voting (WV), direct averaging (DA) and weighty averaging (WA). The simulation results demonstrate that the Co-AMC method, based on the CNN and WA, has the highest correct classification probability in the four cooperative decision rules. In addition, the CNN-based Co-AMC method also performs better than the high order cumulants (HOC)-based traditional AMC methods, which shows the effective feature extraction and powerful classification capabilities of the CNN.