In the future super dense wireless networks, millimeter-wave (mmWave) communications systems have great prospects, mainly due to the huge bandwidths and the directional transmissions. However, phase noise is significant due to the high oscillation frequency, which affects channel estimation and deteriorates the bit-error-rate (BER) performance. This paper emphasizes that phase noise may be estimated in the frequency domain, and a scheme with iterative channel estimation and phase noise compensation is proposed for single-carrier frequency-domain equalization (SC-FDE) based mmWave systems. We achieve channel estimation by calculating small perturbations iteratively with the first-order approximation. For signal demodulation, we adopt an iterative receiver to compensate phase noise with the decision feedback result. Comprehensive simulations demonstrate that our scheme achieves competitive performance and outperforms the traditional methods, in terms of both mean square error (MSE) in channel estimation and BER in signal demodulation.