In this paper, joint transceiver design for dual-hop amplify-and-forward (AF) MIMO relay systems with Gaussian distributed channel estimation errors in both two hops is investigated. Due to the fact that various linear transceiver designs can be transformed to a weighted linear minimum mean-square-error (LMMSE) transceiver design with specific weighting matrices, weighted mean square error (MSE) is chosen as the performance metric. Precoder matrix at source, forwarding matrix at relay and equalizer matrix at destination are jointly designed with channel estimation errors taken care of by Bayesian philosophy. Several existing algorithms are found to be special cases of the proposed solution. The performance advantage of the proposed robust design is demonstrated by the simulation results.