This paper considers a multiple-input multiple-output (MIMO) relay system with an energy harvesting relay node. All nodes are equipped with multiple antennas, and the relay node depends on the harvested energy from the received signal to support information forwarding. In particular, the relay node deploys power splitting based energy harvesting scheme. The capacity maximization problem subject to power constraints at both the source and relay nodes is considered for both fixed source covariance matrix and optimal source covariance matrix cases. Instead of using existing software solvers, iterative approaches using dual decomposition technique are developed based on the structures of the optimal relay precoding and source covariance matrices. Simulation results demonstrate the performance gain of the joint optimization against the fixed source covariance matrix case.