In this paper, we propose an optimal channel training method in the sense of linear minimum mean square error for multiple-input multiple-output amplify-and-forward relay systems in the presence of interference. By using a relay processing matrix, the received interference is cancelled or mitigated. To make the problem tractable, we first derive the optimal structure of the training signal and the relay processing matrix. Then, we propose an optimal channel training method. In order to reduce the complexity, we also propose an asymptotically optimal channel training method. Simulation results demonstrate that the two proposed methods outperform the conventional training signal design methods in terms of both the mean square error and in the bit error rate.