A high spectral efficiency coherent microwave photonic link (MPL) supporting amplitude and phase modulation incorporating a digital phase noise cancellation is proposed and experimentally demonstrated. At the transmitter, a continuous-wave light wave is amplitude- and phase-modulated by two microwave vector signals carried by a microwave carrier at an identical frequency. The modulated optical signal is polarization multiplexed with an unmodulated optical carrier and transmitted over a length of a single-mode fiber (SMF). At the receiver, the optical signal is detected coherently by a coherent receiver to which a local oscillator (LO) laser source is also applied. Through advanced digital signal processing, the microwave vector signals are recovered, and the phase noise introduced by both the transmitter laser source and LO laser source is cancelled. An experiment is performed. The transmission of a 2.5-Gb/s 16-QAM and a 1.25-Gb/s QPSK microwave vector signals both at 2.5 GHz over a 25-km SMF is implemented. The total bit rate of the MPL is 3.75 Gb/s. The transmission performance of the MPL in terms of error vector magnitudes and bit error rates is evaluated.