In the conventional orthogonal frequency division multiplexing with index modulation (OFDM-IM), the M-ary modulated symbols are transmitted on a subset of subcarriers under the guidance of information bits. In this paper, a novel information guided precoding, called precoding aided (P-)OFDMIM, is proposed to improve the spectral efficiency (SE) of OFDMIM. In P-OFDM-IM, the information bits are jointly conveyed through the conventional M-ary modulated symbols and the indices of precoding matrices and vectors. Then, the principle of P-OFDM-IM is embodied in two different implementation types, including P-OFDM-IM-I and P-OFDM-IM-II. Specifically, P-OFDM-IM-I divides all subcarriers into L groups and modulates them by L distinguishable constellations. P-OFDM-IM-II partitions the total subcarriers into L overlapped layers and performs IM layer by layer, where distinguishable constellations are employed across layers. A practical precoding strategy is designed for P-OFDM-IM under the phase shift keying/quadrature amplitude modulation constraint. A low-complexity log-likelihood ratio detector is proposed to ease the computational burden on the receiver. To evaluate the performance of P-OFDM-IM theoretically, an upper bound on the bit error rate and the achievable rate are studied. Computer simulation results show that P-OFDM-IM-I outperforms the existing OFDM-IM related schemes at high SE, while P-OFDM-IM-II performs the best at low SE.