This paper considers the finite-order filter design problem for the source and multiple full-duplex (FD) relays in a cooperative communication system under frequency-selective fading channels. The goal is to optimize the source and relay filters such that the end-to-end signal-to-interference-plus-noise ratio (SINR) of minimum mean-squared error decision-feedback equalizer (MMSE-DFE) can be maximized. The resultant design problem is very difficult since we need to deal with self interference (SI), inter-relay interference (IRI), and inter-symbol interference (ISI) at the same time. Novel designs are then proposed to overcome the difficulty in this work. Transforming the signals into the frequency domain and using some optimization techniques, we first theoretically derive the power spectrum of the source filter and the spectrums of the relay filters. Then, the finite-order design is developed to approach the derived spectrums. Based on the weighted least-square (WLS) criterion, the Steiglitz-McBride method is exploited to obtain the filter coefficients in finite lengths. Numerical results demonstrated that complete removal of SI may not be a good strategy; preserving a certain amount of SI at each relay instead provides better SINR performance.