In this paper, we consider multi-input multi-output (MIMO) two-way relay networks with orthogonal frequency-division multiplexing (OFDM) modulation scheme. The networks consist of two end users exchanging their information via a relay. One information exchange between two end users is divided into two Phases. In Phase 1, two users send their information to the relay. The relay then amplifies and broadcasts its received signals to the two users in Phase 2, i.e., the relay works in the amplify-and-forward (AF) mode. By doing so, two-way relay networks require half as many time slots to accomplish one information exchange as the traditional one-way relay networks. We propose at each end user an iterative algorithm to jointly estimate the channel information and detect the data transmitted from the other user. The channel information consists of the \textit{composite} channels which are the combinations of individual channels in the networks and noise covariance matrices resulting from the AF working mode of the networks. We apply the Expectation Conditional Maximization (ECM) algorithm to estimate the necessary channel information for detection. Simulation results show that the performance of our proposed iterative algorithm is close to that given by the perfect channel information.