In this paper, both the security and the reliability performance of the cognitive amplify-and-forward (AF) relay system are analyzed in the presence of the channel estimation error. The security and the reliability performance are represented by the outage probability and the intercept probability, respectively. Instead of perfect channel state information (CSI) predominantly assumed in the literature, a certain channel estimation algorithm and the influence of the corresponding channel estimation error are considered in this study. Specifically, linear minimum mean square error estimation (LMMSE) is utilized by the destination node and the eavesdropper node to obtain the CSI, and the closed form for the outage probability and that for the intercept probability are derived with the channel estimation error. It is shown that the transmission security (reliability) can be improved by loosening the reliability (security) requirement. Moreover, we compare the security and reliability performance of this relay-based cognitive radio system with those of the direct communication system without relay. Interestingly, it is found that the AF relay-based system has less reliability performance than the direct cognitive radio system; however, it can lower the sum of the outage probability and the intercept probability than the direct communication system. It is also found that there exists an optimal training number to minimize the sum of the outage probability and the intercept probability.