In this paper, we study a far-end channel estimation problem in a three-node multiple-input-multiple-output (MIMO) relay system. The estimation is accomplished in two phases. In the first phase, the source node keeps silence, the relay transmits pilots, and the destination estimates the relay-to-destination channel. In the second phase, the source transmits pilots, and the relay amplifies the received pilots with a precoder and forwards the resultant pilots to the destination. The destination then estimates the source-to-relay channel based on the received signals and the estimated relay-to-destination channel in the first phase. We aim to conduct a robust design deriving the optimum source pilots and precoding matrix with the minimum mean square error (MMSE) criterion. The design can be easily formulated as an optimization problem; however, the problem is not convex and is difficult to solve. We then propose using a lower bound of the objective function in the optimization problem. We show that the optimization of the lower bound is equivalent to the original problem when channel correlation matrices have certain structures. With the correlation matrices, we can derive optimum pilot structures so that the proposed optimization can be transferred to a scalar-valued concave optimization, and a closed-form solution can be obtained via Karush-Kuhn-Tucker (KKT) conditions. Simulations show that our proposed method outperforms existing nonrobust methods.