In this paper, we consider robust optimization of amplify-and-forward (AF) multiple-input multiple-output (MIMO) relay precoders in presence of deterministic imperfect channel state information (CSI), when the CSI uncertainty lies in a norm bounded region. Two widely used performance metrics, mutual information (MI) and mean square error (MSE), are adopted as design objectives. According to the philosophy of worst-case robustness, the robust optimization problems with respect to maximizing the worst-case MI and minimizing the worst-case MSE are formulated as maximin and minimax problems, respectively. Due to the fact that these two problems do not have a concave-convex or convex-concave structure, we cannot rely on the conventional saddle point theory to find the robust solutions. Nevertheless, by exploiting majorization theory, we show that the formulated maximin and minimax problems both admit saddle points. We further analytically characterize the saddle points, and provide closed-form solutions to robust relay precoder designs. Interestingly, we find that, under both MI and MSE metrics, the robust relay optimization leads to a channel-diagonalizing structure, meaning that eigenmode transmission is optimal from the worst-case robustness perspective. The proposed robust designs can improve the spectral efficiency and reliability of AF MIMO relaying against CSI uncertainties at the similar cost of computational complexity as the existing non-robust schemes. © 1991-2012 IEEE.