The performance of an underlay cognitive radio network equipped with multiple decode-and-forward relays is investigated in the presence of multiple primary transmitters and multiple primary receivers. The allowed maximum transmission powers for the secondary nodes are obtained according to the outage constraint of multiple primary users (PUs). The authors study selective cooperation scheme for the scenarios of non-direct relay transmission, direct and relay transmission with selection combining, direct and relay transmission with maximum ratio combining, and incremental relay transmission. Considering the dependence among the received signal-to-interference-plus-noise ratios caused by multiple PUs, exact and asymptotical expressions for the outage probability of the proposed selective cooperation schemes are derived over Rayleigh fading channels under underlay spectrum sharing constraints. It is shown that the diversity order for the underlay cognitive relay network with multiple primary transmitters and multiple primary receivers is zero. Finally, simulation results are presented to verify the correctness of the authors’ theoretical derivations.