Multi-keyhole bridges the gap between single keyhole and full-scattering multiple-input multiple-output (MIMO) channels. In this paper, we therefore investigate the multi-keyhole effect on the MIMO amplify-and-forward (AF) relay downlink transmission with orthogonal space-time block codes. In particular, we derive the analytical symbol error rate (SER) expression for the considered system with arbitrary number of keyholes. Moreover, SER approximations in the high SNR regime for several important special scenarios of multi-keyhole channels are further derived. These asymptotic results provide important insights into the impact of system's parameters on the SER performance. Our analysis is confirmed by comparing with Monte-Carlo simulations.