A joint precoding method for a multi-user MIMO relay system including a direct transmission link is disclosed. In the scene of transmitting/receiving end multi-user MIMO relay communication, with MSMSE as a design criterion, the invention provides a joint precoding method with the centralized optimization of all users of a transmitting end. According to the MMSE receiving filter theory, the optimal expression of a receiving filter matrix is directly solved. The sub-optimization problem of a sub-precoding matrix of a transmitting end user is obtained by solving a K.K.T condition, the sub-optimization problem of a relay transceiver matrix is transformed into a standard SDP problem for optimization. Finally, the sub-precoding matrix of the transmitting end user, the relay transceiver matrix and the receiving filter matrix are jointly iterated to convergence, and an optimized precoding matrix is obtained. A simulation analysis verifies that a mean square error and bit error rate performance of the proposed method are good, and the system performance is optimal especially in the case of a low signal-to-noise ratio.