This article presents an iterative minimum mean square error- (MMSE-) based method for the joint estimation of signal-to-noise ratio (SNR) and frequency-selective channel in an orthogonal frequency division multiplexing (OFDM) context. We estimate the SNR thanks to the MMSE criterion and the channel frequency response by means of the linear MMSE (LMMSE). As each estimation requires the other one to be performed, the proposed algorithm is iterative. In this article, a realistic case is considered; i.e., the channel covariance matrix used in LMMSE is supposed to be totally unknown at the receiver and must be estimated. We will theoretically prove that the algorithm converges for a relevantly chosen initialization value. Furthermore simulations show that the algorithm quickly converges to a solution that is close to the one in which the covariance matrix is perfectly known. Compared to existing SNR estimation methods, the algorithm improves the trade-off between the number of required pilots and the SNR estimation quality.