A novel multi-band digital predistortion (DPD) technique is proposed to linearize the subcarrier multiplexed radio-over-fiber (SCM-RoF) system transmitting sparse multi-band RF signal with large blank spectra between the constituent RF bands. DPD performs on the baseband signal of each individual RF band before up-conversion and RF combination. By disregarding the blank spectra, the processing bandwidth of the proposed DPD technique is greatly reduced, which is only determined by the baseband signal bandwidth of each individual RF band, rather than the entire bandwidth of the combined multi-band RF signal. Experimental demonstration is performed in a directly modulated SCM-RoF system transmitting two 64QAM modulated OFDM signals on 2.4GHz band and 3.6GHz band. Results show that the adjacent channel power (ACP) is suppressed by 15dB leading to significant improvement of the EVM performances of the signals on both of the two bands.