Using variational Bayesian approximation (VBA), we propose a general framework for joint channel estimation, demodulation, and decoding in an orthogonal frequency-division multiplexing (OFDM) amplify-and-forward (AF) relay network. AF relaying is adopted due to its simplicity and ease of implementation, and both cases of fixed- and variable-gain AF protocols are addressed. Unlike the classical approach where a number of subcarriers are solely dedicated to pilots, partial data-dependent superimposed training is considered here, which preserves the spectral efficiency. Assuming a bit-interleaved coded modulation OFDM system at the source, a modified formulation of VBA is proposed, which is, in fact, a Bayesian framework of turbo data detection of OFDM under channel estimation errors. More precisely, by an appropriate exploitation of the inherent “soft” information on channel and data available from the VBA formalism, we derive a modified iterative receiver, which reduces the impact of channel uncertainty by averaging the “soft data decision” over the posterior distribution of the unknown channel at each decoding iteration. The proposed modified VBA approach is contrasted to the conventional VBA and to the mismatched VBA approach, where, in the latter, the unknown channel is just replaced by its imperfect estimate. We show that conventional and mismatched VBA are suboptimal and can be viewed as a particular case of the proposed VBA method. In addition, we show that the VBA approach makes a nice connection between the classical techniques such as pilot-only channel estimation and the expectation–maximization algorithm, which can be viewed as a special case of VBA. By comparison with state-of-the-art VBA-based estimators through numerical analysis, we highlight the superiority of our modified VBA method and demonstrate a notable performance improvement in terms of the bit error rate.