We introduce the relative Haagerup approximation property for a unital, expected inclusion of arbitrary von Neumann algebras and show that if the smaller algebra is finite then the notion only depends on the inclusion itself, and not on the choice of the conditional expectation. Several variations of the definition are shown to be equivalent in this case, and in particular the approximating maps can be chosen to be unital and preserving the reference state. The concept is then applied to amalgamated free products of von Neumann algebras and used to deduce that the standard Haagerup property for a von Neumann algebra is stable under taking free products with amalgamation over finite-dimensional subalgebras. The general results are illustrated by examples coming from q-deformed Hecke-von Neumann algebras and von Neumann algebras of quantum orthogonal groups.
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