In this study, we propose an orthogonal frequency division multiplexing radio-over-fiber (OFDM-RoF) system based on low density parity check code (LDPC) coded with probabilistic shaping (PS) for optimizing the transmission performance of the OFDM signal. We theoretically analyze the PS technology and the generation and demodulation principle of the PS-OFDM signal. The average power of the modulated OFDM signals for the same transmission power decreased by approximately 20% after PS with a 6.7% extra overhead. Compared with a normal OFDM-RoF system, the proposed PS-OFDM-RoF system can reduce the transmitting power of OFDM signals, and it has a better peak-to-average power ratio (PAPR) performance. Furthermore, a 25 GHz verification RoF system with a data rate of 2.5 Gbps is established for analyzing the transmission characteristics of the PS-OFDM signals. The measured bit error rate curves at different fiber lengths show that a PS-OFDM-RoF system based on LDPC can effectively improve the sensitivity of the receiver and increase the reliable transmission distance of the system.