In this paper, we present a cognitive relay network with two primary transceivers that communicate via several distributed relay terminals. Spectrum sensing is deployed at the relays to sense the absence/presence of the primary transceivers based on energy detection. The primary network utilizes a two-step two-way amplify-and-forward (AF) scheme by using the cognitive radio (CR) terminals as its relay nodes when the primary network is not in operation, in contrast, the CRs communicate with their own base station (BS). In the first relaying step, the primary transceivers send their signal to the CRs/relays. Distributed beamforming is then performed in the second relaying step. Our aim is to set the beamforming weights so as to minimize the total power dissipated in the relay network while satisfying a target signal-to-noise ratio (SNR) at the primary transceivers and at the cognitive BS. This is achieved by solving an optimization problem that we formulate as a nonconvex quadratically constrained quadratic program (QCQP). This problem is solved efficiently by semidefinite relaxation (SDR) and Lagrangian duality. Simulation results are provided to demonstrate the superiority of our proposed technique, compared to classical beamforming techniques, in terms of power reduction.