In this paper, a novel trellis-coded spatial modulation (TCSM) design method is presented and analyzed. Inspired by the key idea of trellis-coded modulation (TCM), the detailed analysis is firstly provided on the unequal error protection performance of spatial modulation constellation. Subsequently, the Ungerboeck set partitioning rule is proposed and applied to develop a general method to design the novel TCSM schemes. Different from the conventional TCSM approaches, the novel one based on the Ungerboeck set partitioning rule has similar properties as the classic TCM, which has simple but effective code design criteria. Moreover, the novel designed schemes are robust and adaptive to the generalized Rician fading channels, which outperform the traditional TCSM ones. For examples, the novel 4-, 8-, and 16-state TCSM schemes are constructed by employing different transmit antennas and different modulation schemes in different channel conditions. Simulation results clearly demonstrate the advantages of the novel TCSM schemes over the conventional ones.