A spatially modulated Diagonal Space Time Coding (SM-DC) scheme for four transmit antennas is presented in this letter. In the proposed SM-DC scheme, the diagonal code is employed as the core space-time block code (STBC), and the spatial constellation (SC) matrices designed by Le et al. are used to activate the transmit antennas. The SM-DC scheme can achieve the transmit diversity order of two by designing a proper precoding matrix. Moreover, it supports any number of activated transmit antennas from 1 to 4. Simulation results show that, at the cost of increased decoding complexity, the proposed SM-DC scheme outperforms several existing STBC-SM schemes with four transmit antennas.