In this letter, with combined belief propagation (BP), mean field (MF), and expectation propagation (EP), an iterative receiver is designed for joint phase noise estimation, equalization, and decoding in a coded communication system. The presence of the phase noise results in a nonlinear observation model. Conventionally, the nonlinear model is directly linearized by using the first-order Taylor approximation, e.g., in the state-of-the-art soft-input extended Kalman smoothing approach (Soft-in EKS). In this letter, MF is used to handle the factor due to the nonlinear model, and a second-order Taylor approximation is used to achieve Gaussian approximation to the MF messages, which is crucial to the low-complexity implementation of the receiver with BP and EP. It turns out that our approximation is more effective than the direct linearization in the Soft-in EKS, leading to a significant performance improvement with similar complexity as demonstrated by simulation results.