In this paper, we analyze the performance of cognitive amplify-and-forward (AF) relay networks with beamforming under the peak interference power constraint of the primary user (PU). We focus on the scenario that beamforming is applied at the multi-antenna secondary transmitter and receiver. Also, the secondary relay network operates in channel state information assisted AF mode, and the signals undergo independent Nakagami-m fading. In particular, closed-form expressions for the outage probability and symbol error rate (SER) of the considered network over Nakagami-m fading are presented. More importantly, asymptotic closed-form expressions for the outage probability and SER are derived. These tractable closed-form expressions for the network performance readily enable us to evaluate and examine the impact of network parameters on the system performance. Specifically, the impact of the number of antennas, the fading severity parameters, the channel mean powers, and the peak interference power is addressed. The asymptotic analysis manifests that the peak interference power constraint imposed on the secondary relay network has no effect on the diversity gain. However, the coding gain is affected by the fading parameters of the links from the primary receiver to the secondary relay network.