This paper presents the outage performance in cognitive relay networks. The closed-form expression for the outage probability is derived in cognitive amplify-and-forward (AF) relay networks under the interference constraint. Through the Monte Carlo simulation, it is shown that our analytic result is a tight bound especially at high average signal to noise ratio (SNR). Additionally, the numerical result shows the feasible region of AF relay in cognitive relay networks. This result also shows that the relaying transmission in the cognitive networks is inferior to the direct transmission in aspect of the outage performance, if the location of relay is too close to the primary receiver.