All-optical frequency up-conversion in radio over fiber (ROF) system based on cross-phase modulation in a high nonlinear fiber is proposed. The numerical calculation results show that the 40-GHz pulse pump beam with wavelength of 1.54 μm can make the weak signal with wavelength of 1.56 μm and nonreturn to zero code velocity of 2.5 Gbit/s split and generate two adjacent one-order sidebands, because of the modulation instability induced by cross-phase modulation. The carrier and sidebands are coherent with the spacing of 40 GHz. The pulse width, power of the pump beam, and fiber length all have great impact on the power difference of the carrier and sidebands. The simulation results verify the above principle and 2.5-Gbit/s data signal is up-converted into 40-GHz millimeter-wave in high nonlinear fiber. The optimized fiber length and pump power are 600 m and 17 dBm, respectively, when the power of the signal light is 0 dBm.