The optimal linear modulation approximation of any M-ary continuous-phase modulated (CPM) signal under the minimum mean-square error (MMSE) criterion is presented in this paper. With the introduction of the MMSE signal component, an M-ary CPM signal is exactly represented as the superposition of a finite number of MMSE incremental pulses, resulting in the novel switched linear modulation CPM signal models. Then, the MMSE incremental pulse is further decomposed into a finite number of MMSE pulse-amplitude modulated (PAM) pulses, so that an M-ary CPM signal is alternatively expressed as the superposition of a finite number of MMSE PAM components, similar to the Laurent representation. Advantageously, these MMSE PAM components are mutually independent for any modulation index. The optimal CPM signal approximation using lower order MMSE incremental pulses, or alternatively, using a small number of MMSE PAM pulses, is also made possible, since the approximation error is minimized in the MMSE sense. Finally, examples of the MMSE-optimal CPM signal approximation and its comparison with the Laurent approximation approach are given using raised-cosine frequency-pulse CPM schemes.