In this paper, we consider a new secure spatial modulation scenario with a full-duplex (FD) malicious attacker Mallory owning eavesdropping capacity, where Mallory works on FD model and transmits a malicious jamming such as artificial noise (AN) to interfere with Bob. To suppress the malicious jamming on Bob from Mallory, a conventional maximum receive power (Max-RP) at Bob is presented firstly. Subsequently, to exploit the colored property of noise plus interference at Bob, a whitening-filter-based Max-RP (Max-WFRP) is proposed with an obvious performance enhancement over Max-RP. To completely remove the malicious jamming from Mallory, a Max-RP with a constraint of forcing the malicious jamming from Mallory to zero at Bob is proposed. To further improve secrecy rate (SR) by removing the ZF contraint (ZFC), the maximum signal-to-jamming-plus-noise ratio (Max-SJNR) is proposed. Our proposed methods have closed-form expressions. From simulation results, the four receive beamforming methods have an increasing order in performance: Max-RP, Max-RP with ZFC and Max-SJNR$\approx$Max-WFRP. Additionally, the latter two harvest a substantial performance gains over Max-RP and Max-RP with ZFC in the low and medium signal-to-noise ratio regions.