A compressive optical steganography based on single-pixel imaging (SPI) is proposed. The SPI system, which employs a digital light projector to illuminate the host image with modulated patterns, is similar to a wireless broadcast system. Therefore, it is suitable for covert communication naturally. By leveraging the compressive sensing technique and a generalized phase retrieval algorithm, the secret message is sparse-sampled and then encoded into the illumination patterns, which are projected onto the host image in an SPI architecture. The resulting reflected light signals travel in the free space as a broadcast system, and the signals would be captured by the authorized receivers and the potential eavesdroppers. By implementing an inverse Fourier transform, a stegoimage will be received, which is almost the same as the host image. However, only the authorized receivers, who possess the secret key, could extract the desired data from the stegoimage and then reconstruct the secret message by using a convex optimization algorithm. Because the secret message is sparse-sampled before embedding, the imperceptibility is well preserved while the capacity also be kept in a high level. A series of simulation and experimental results verifies the validity and feasibility of the proposed method.