In this work, the issue of robust waveform optimization is addressed in the presence of clutter to improve the worst-case estimation accuracy for collocated multiple-input multiple- output (MIMO) radar. Robust design is necessary due to the fact that waveform design may be sensitive to uncertainties in the initial parameter estimates. Following the min-max approach, the robust waveform covariance matrix design is formulated here on the basis of Cramer-Rao Bound to ease this sensitivity systematically for improving the worst-case accuracy. To tackle the resultant complicated and nonlinear problem, a new diagonal loading (DL)-based iterative approach is developed, in which the inner optimization problem can first be decomposed to some independent subproblems by using the Hadamard's inequality, and then these subproblems can be reformulated into convex issues by using DL method, as well as the outer optimization problem can also be relaxed to a convex issue by translating the nonlinear function into a linear one, and, hence, both of them can be solved very effectively. An optimal solution to the original problem can be obtained via the least-squares fitting of the solution acquired by the iterative approach. Numerical simulations show the efficiency of the proposed method. © The Authors. Published by SPIE under a Creative Commons Attribution 3.0 Unported License. Distribution or repro- duction of this work in whole or in part requires full attribution of the original publication, including its DOI. (DOI: 10.1117/1.JRS.10.035005)