In this paper, a joint precoding and decoding design scheme is proposed for two-way Multiple-Input Multiple-Output (MIMO) multiple-relay system. The precoding and decoding matrices are jointly optimized based on Minimum Mean-Square-Error (MMSE) criteria under transmit power constraints. The optimization problem is solved by using a convergent iterative algorithm which in-cludes four sub-problems. It is shown that due to the difficulty of the block diagonal nature of the relay precoding matrix, sub-problem two cannot be solved with existing methods. It is then solved by converting sub-problem two into a convex optimization problem and a simplified method is proposed to reduce the computational complexity. Simulation results show that the proposed scheme can achieve lower Bit Error Rate (BER) and larger sum rate than other schemes. Furthermore, the BER and the sum rate performance can be improved by increasing the number of antennas for the same number of relays or increasing the number of relays for the same number of antennas. The precoding and decoding matrices are provided optimized based on Minimum Mean-Square-Error (MMSE). In this paper, a joint precoding and decoding scheme is proposed for two-way Multiple-Input Multiple- criteria under transmit power constraints. The optimization problem is solved by using a convergent iterative algorithm which in-cludes four sub-problems. It is shown that due to the difficulty of the block diagonal nature of the relay precoding matrix, sub-problem two can not be solved with existing methods. It is then solved by converting sub-problem two into a convex optimization problem and a simplified method is proposed to reduce the computational complexity. Simulation results show that the proposed scheme can achieve lower Bit Error Rate (BER) and more, the sum rate performance can be improved by increasing the number of antennas for the same number of relays or increasing the number of relays for the same number of antennas.