In this paper, we investigate the performance of relay selection in an underlay cognitive radio system in the presence of primary user (PU) interference. In particular, we consider a secondary multi-relay network operating in the amplify-and-forward (AF) mode and only the “best” relay which satisfies an index of merit is selected. The proposed selection strategy takes into consideration the effect of PU interference, i.e., we assume that a secondary relay network is exposed to unwanted interference from a neighboring PU network. We derive a closed-form outage probability expression for the secondary multi-relay network and further present a thorough asymptotical diversity order analysis. A simulation study is presented to corroborate the analytical results and to have further insight into the performance the proposed selection strategy.