OFDM-IM, which uses the indices of active subcarriers to carry additional information bits, is a novel multi-carrier transmission technique. In this letter, by exploiting the special design of OFDM-IM, we propose an analytical approach to evaluate the error probability of OFDM-IM subject to carrier frequency offset (CFO) in fading channels, where the inter-carrier interference (ICI) is properly divided into two parts: the intra-subblock ICI and the inter-subblocks ICI. Simulation results illustrate that the results of theoretical analysis are quite accurate, and OFDM-IM outperforms the conventional OFDM when CFO exists.