A multi-relay assisted orthogonal frequency division multiplexing (OFDM) system with index modulation (OFDM-IM) is proposed in this letter, assuming that amplify-and-forward (AF) relaying protocol is adopted at relays. Two commonly used AF protocols are considered: fixed-gain (FG) AF and variable-gain (VG) AF relaying protocols. To utilize relays in an efficient manner, we also employ two multi-carrier relay selection schemes termed bulk and per-subcarrier (PS) relay selection in the proposed system. We analyze the outage performance of the proposed system and derive closed-form expressions of the average outage probabilities (AOPs) for all cases with different AF relaying protocols and multi-carrier relay selection schemes. In addition, we obtain the asymptotic expressions of AOPs in the high signal-to-noise ratio (SNR) region, by which it is proven that the full diversity gain equaling the number of relays is attainable.