This letter proposes a differentially modulated non-orthogonal spectrally efficient frequency-division multiplexing (D-SEFDM) architecture, which allows us to dispense with any pilot overhead needed for channel estimation at the receiver, while increasing the bandwidth efficiency in comparison to the orthogonal frequency-division multiplexing counterpart. While it is a challenging task to carry out differential-modulation-assisted non-coherent detection for multi-carrier transmissions in the presence of a severe inter-carrier interference (ICI), in the proposed scheme ICI elimination and symbol demodulation are implemented in a non-coherent manner, by exploiting the fact that ICI imposed by D-SEFDM is deterministically given, once we have a compression factor of non-orthogonal subcarriers. It is verified in our simulations that the proposed D-SEFDM exhibits a higher performance than the conventional coherent SEFDM scheme, especially for the scenarios of a high Doppler frequency.