The movable antenna (MA) technology has attracted increasing attention in wireless communications due to its capability for flexibly adjusting the positions of multiple antennas in a local region to reconfigure channel conditions. In this paper, we investigate its application in an amplify-and-forward (AF) relay system, where a multi-MA AF relay is deployed to assist in the wireless communications from a source to a destination. In particular, we aim to maximize the achievable rate at the destination, by jointly optimizing the AF weight matrix at the relay and its MAs' positions in two stages for receiving the signal from the source and transmitting its amplified version to the destination, respectively. However, compared to the existing one-stage antenna position optimization, the two-stage position optimization is more challenging due to its intricate coupling in the achievable rate at the destination. To tackle this challenge, we decompose the considered problem into several subproblems by invoking the alternating optimization (AO) and solve them by using the semidefinite programming and the gradient ascent. Numerical results demonstrate the superiority of our proposed system over the conventional relaying system with fixed-position antennas (FPAs) and also drive essential insights.