In this paper, we consider a MIMO networked control system (NCS) in which a sensor amplifies and forwards the observed MIMO plant state to a remote controller via a MIMO fading channel. We focus on the MIMO amplify-and-forward (AF) precoding design at the sensor to minimize a weighted average state estimation error at the remote controller subject to an average communication power gain constraint of the sensor. The MIMO AF precoding design is formulated as an infinite horizon average cost Markov decision process (MDP). To deal with the curse of dimensionality associated with the MDP, we propose a novel continuous-time perturbation approach and derive an asymptotically optimal closed-form priority function for the MDP. Based on this, we derive a closed-form first-order optimal dynamic MIMO AF precoding solution, and the solution has an event-driven control structure. Specifically, the sensor activates the strongest eigenchannel to deliver a dynamically weighted combination of the plant states to the controller when the accumulated state estimation error exceeds a dynamic threshold. We further establish technical conditions for ensuring the stability of the MIMO NCS, and show that the mean square error of the plant state estimation is $\mathcal{O}\left(\frac{1}{\bar{F}}\right)$, where $\bar{F}$ is the maximum AF gain of the MIMO AF precoding.