Compared to half-duplex relay systems, full-duplex relay systems can greatly improve the spectral efficiency. However, the information leakage between transmitter and receiver of relay degrade the performance of full-duplex system. To deal with the self-interference and enhance the system achievable rate in full-duplex MIMO relay system with decoded-and-forward strategy, an iterative beamforming structure at the relay is proposed. In this structure, the received and transmit beamforming at the relay are optimized with minimum mean square error (MMSE) criterion over both uplink and downlink (called MMSE plus MMSE). And then the two beamforming matrices are combined for optimal solutions. Simulation results show that the proposed MMSE plus MMSE performs better than existing schemes like null space projection (NSP) and maximum signal-to-interference ratio (Max-SIR). For example, The proposed algorithm harvests about 0.8 bps/Hz gain over the Max-SIR when SNR is high. At the BER=10-3, the proposed scheme harvests about 1.5 dB SNR gain over the Max-SIR.