In cognitive radio (CR) networks, cooperative relaying is a promising technology to improve the performance of secondary users (SUs), while ensuring the quality of service (QoS) of primary transmissions. Most previous work in CR relay networks concentrates on maximizing physical layer QoS, e.g., system capacity, as the design criteria. However, the application layer QoS perceived by SUs, such as multimedia distortion, is largely ignored. In this paper, we take a crosslayer design approach to jointly consider optimal relay selection, power allocation, adaptive modulation and coding, as well as intra-refreshing rate to improve multimedia transmissions over underlay CR relay networks, while guaranteeing that the primary link is provided with a minimum-rate for a certain percentage of time. The objective is to minimize multimedia distortion, increase spectral efficiency as well as prolong network lifetime. With this stochastic optimization formulation, the optimal policy has indexability property that dramatically reduces the computation and implementation complexity. Simulation results are presented to show the effectiveness of the proposed scheme.