In this paper, we analyze the throughput performance of incremental relaying using energy harvesting (EH) decode-and-forward (DF) relays in underlay cognitive radio networks (CRNs). The destination combines the direct and relayed signals when the direct link is in outage. From the derived closed-form expressions, we present an expression for the power-splitting parameter of the EH relay that optimizes the throughput performance. We demonstrate that relaying using EH DF relays results in better performance than direct signalling without a relay only when the destination combines the direct signal from the source with the relayed signal. Computer simulations demonstrate accuracy of the derived expressions.