In this work, we consider a cooperative underlay cognitive radio system in which one secondary user (S) transmits its data to a secondary receiver with the assistance of multiple relays. In the considered underlay spectrum sharing scenario, the transmit power levers at S and forwarding relays are adjusted simultaneously according to a given threshold interference power that the primary user can tolerate. We also consider that relays adopt threshold decode-and-forward relay scheme and harvest energy from the primary transmitter with finite energy storage capacity under time switching scheme. Three best relay selection schemes, optimal source-relay link with wireless energy harvesting (WEH), optimal relay-destination link with WEH and optimal source-relay-destination link with WEH schemes, are proposed and studied. Closed-form analytical expressions for the outage probability of these three best relay selection schemes are derived, respectively. Finally, our analytical results are verified by Monte-Carlo simulations.