In this letter, we consider an underlay cognitive radio network assisted by dual-hop decode-and-forward (DF) relaying. For a general multi-user network, we adopt a max-min fairness relay selection scheme and analyse the outage probability when the channels are subject to independent and non-identical Nakagami-m fading. The relay network operates within the constraint imposed on the peak interference power tolerable by the primary receiver. We then analyse the asymptotic outage probability performance and illustrate the existence of i) the full-diversity order when the interference level at the primary user increases proportionally with the relay transmit power; and ii) an outage floor when the transmit powers of the relays are restricted by the primary receiver. We also analyse the outage probability with imperfect channel state information (CSI) and the average throughput over Rayleigh fading channels. Illustrative analytical results are accurately validated by numerical simulations.