A novel full-duplex Radio-over-fiber (ROF) system using a single light source at Central Station (CS) is proposed and demonstrated. Based on Cross-gain Modulation (XGM) and optical filtering technique, the scheme is employed to generate 40 GHz optical millimeter-wave at CS for downlink transmission by using a Semiconductor Optical Amplifier (SOA). Baseband signal of the down-link data is only modulated on one of the optical carrier sidebands while the up-link data will be modulated on optical carrier in the base station and sent back to the CS. The bidirectional full-duplex 2.5 Gbit/s data is successfully transmitted over 40 km standard Single-mode Fiber (SMF). The upstream channel is less than 0.5 dBm power penalty and the downstream channel is 3.5 dBm power penalty. This system shows good performance over long-distance delivery and has important applicable value in high radio frequency sector and multi-channel full-duplex system.