In this paper, deep neural network (DNN) is integrated with spatial modulation-orthogonal frequency division multiplexing (SM-OFDM) technique for end-to-end data detection over Rayleigh fading channel. This proposed system directly demodulates the received symbols, leaving the channel estimation done only implicitly. Furthermore, an ensemble network is also proposed for this system. Simulation results show that the proposed DNN detection scheme has a significant advantage over classical methods when the pilot overhead and cyclic prefix (CP) are reduced, owing to its ability to learn and adjust to complicated channel conditions. Finally, the ensemble network is shown to improve the generalization of the proposed scheme, while also showing a slight improvement in its performance.