The optimal preceding design to maximize capacity of spatially correlated dual-hop non-regenerative multiple-input multiple-output (MIMO) relaying systems is proposed in this paper. The correlated systems generally have additive colored Gaussian noise (ACGN) at receive terminals and correlated data symbols at the source. By designing the optimal precoder in closed-form to cope with channel correlation, mutually related source symbols, and colored noise interferences, the relay-to-destination MEMO channel can be considered as parallel beam-forming single-input single-output (SISO) sub-channels. Moreover, the optimal power allocations to these sub-channels are obtained. Simulation results show that the capacity with the proposed preceding scheme is significantly higher than those with the existing schemes.