In this paper, a cooperative spatial modulation (SM) based non-orthogonal multiple access (NOMA) scheme with simultaneous wireless information and power transfer is proposed. In particular, NOMA is applied at the base station (BS) and the near user (U1) acts as an energy harvesting full-duplex relay to assist the far user (U2). The data bits of U1 and U2 are mapped into SM symbols and amplitude/phase modulation symbols, respectively. Furthermore, the rate of U1 is maximized while satisfying the target rate of U2 by jointly designing the power allocation coefficient, power-splitting ratio, and transmit power of U1. To solve the non-convex problem, a successive convex approximation-based iterative algorithm is developed. Finally, numerical results reveal that the proposed scheme can achieve the superior performance compared to existing schemes.