This letter studies antenna selection in amplify-and-forward multiple-input multiple-output cooperative cognitive radio system under mutual primary-secondary interference. Two power allocation methods are adopted at the secondary transmitters, assuming perfect and limited feedback from the primary receiver. For both methods, outage, and error performance analysis is conducted, where simple, closed-form expressions are derived over Rayleigh fading channels. In addition, asymptotic analysis is performed to get insights about the diversity gain and the effects of key parameters, including the primary receiver feedback and the number of the antennas. Our analytical results, which are validated with simulations, show the effective impact of the proposed model on enhancing the overall system performance.