In this paper, the error performance analysis of an amplify-and-forward (AF) relay-aided cooperative multi-antenna system using spatial modulation (SM) over Rayleigh channels is presented. The SM is a simple and spectral efficient modulation technique that can increase the data rate by using input data bits to select a transmit antenna to send a constellation point. The relay transmission deploying SM not only can enhance the coverage and but also can improve the spectral efficiency. In the performance analysis, the overall average bit error rate (BER), which is related to the error probability of an antenna index detection (Pa) and the error probability of symbol detection (Pd) given transmit antenna index, is analyzed. With the derivation of the probability density function and the moment generating function of output signalto-noise ratio (SNR), closed-form expressions of Pa and Pd are obtained to compute the overall BER. With the obtained BER expression, asymptotical BER expressions are derived to reveal the BER performance of the system at high SNR. By minimizing the asymptotical BER, a suboptimal power allocation (PA) scheme is developed. The diversity gain is analyzed at high SNR. The results indicate that the cooperative AF-SM can achieve full diversity order. Simulation results verify the effectiveness of the theoretical BER analysis, and the cooperative AF-SM with PA scheme outperforms upon the equal PA scheme.