Automatic modulation classification (AMC) is one of the most critical technologies for non-cooperative communication systems. Recently, deep learning (DL) based AMC (DL-AMC) methods have attracted significant attention due to their preferable performance. However, the study of most of DL-AMC methods are concentrated in the single-input and single-output (SISO) systems, while there are only a few works on DL-based AMC methods in multiple-input and multiple-output (MIMO) systems. Therefore, we propose in this work a convolutional neural network (CNN) based zero-forcing (ZF) equalization AMC (CNN/ZF-AMC) method for MIMO systems. Simulation results demonstrate that the CNN/ZF-AMC method achieves better performance than the artificial neural network (ANN) with high order cumulants (HOC)-based AMC method under the condition of the perfect channel state information (CSI). Moreover, we also explore the impact of the imperfect CSI on the performance of the CNN/ZF-AMC method. Simulation results demonstrated that the classification performance is not only influenced by the imperfect CSI, but also associated with the number of the transmit and receive antennas.