In this paper, we study the energy efficiency (EE) optimization for simultaneous wireless information and power transfer in multiple-input-multiple-output two-way amplify-and-forward relay networks, where the energy-constrained relay harvests energy from two sources’ signals by power splitting (PS) scheme to forward the information of two sources. Our objective is to jointly design the sources and relay precoding matrices and the PS ratio to maximize the EE of the network, under the transmit power constraints at sources and relay and the minimum spectral efficiency requirement. We transform the nonconvex precoding and PS design problem into a difference of convex programming and propose an efficient iterative algorithm based on the constrained concave convex procedure to obtain a local optimum. To reduce computational complexity, we propose a generalized singular value decomposition based channel diagonalization scheme to simplify the optimization into a joint source and relay power allocation problem. The alternating optimization method is employed to solve this problem and a suboptimal solution to the EE maximization problem is obtained. Simulation results demonstrate the effectiveness of the proposed schemes.