Full-duplex relays simultaneously receive and transmit at the same frequency, thus employ less frequency resource. The undesired feedback from the coverage antennas to donor antennas is, however, created by the radio echoes at the same time because of the lack of isolation between antennas. The feedback results in electromagnetic interference in process of reception, and even causes instability in the relay. In this paper, we present a self-interference cancellation scheme to solve the problem of the self-interference for the broadband MIMO relays. The scheme based on an adaptive steepest descent algorithm makes use of available signals at the relay to estimate the self-interference channel, and generates an estimated signal to suppress it to a tolerable level. The simulation results show that the scheme can obviously achieve cancellation for interference.