Rail transportation, especially, high-speed rails (HSR), is an important infrastructure for the development of national economy and the promotion of passenger experience. Due to the large bandwidth, millimeter wave (mmWave) communication is regarded as a promising technology to meet the demand of high data rates. However, since mmWave communication has the characteristic of high attenuation, mobile relay (MR) is considered in this paper. Also, full-duplex (FD) communications have been proposed to improve the spectral efficiency. However, because of the high speed, as well as the problem of penetration loss, passengers on the train have a poor quality of service. Consequently, an effective user association scheme for HSR in mmWave band is necessary. In this paper, we investigate the user association optimization problem in mmWave mobilerelay systems where the MRs operate in the FD mode. To maximize the system capacity, we propose a cooperative user association approach based on coalition formation game, and develop a coalition formation algorithm to solve the challenging NP-hard problem. We also prove the convergence and Nashstable property of the proposed algorithm. Extensive simulations are done to show the system performance of the proposed scheme under various network settings. It is demonstrated that the proposed distributed low complexity scheme achieves a nearoptimal performance and outperforms two baseline schemes in terms of average system throughput.