In this letter, we present training designs for estimation of spatially correlated multiple-input multiple-output amplify-and-forward two-way multi-relay channels. An optimal training structure is initially derived to minimize total mean-square-error of the channel estimation and, then, source training power and relay amplification parameters are optimized numerically. For the purpose of complexity reduction and implementation simplicity, an upper bound-based power allocation is also proposed in a closed form. Simulation results show that the proposed schemes considerably outperform the conventional schemes.