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The problem of robust transmitted waveform and received filter design for cognitive radar in a signal-dependent interference environment is considered. When estimate errors of the target impulse response (TIR) and clutter impulse response (CIR) exist, in order to improve the worst signal-to-clutter ratio (SCR) and signal-to-interference-and-noise ratio (SINR), a robust transmitted waveform and received filter are designed based on the minimax criterion by using the information fed back from the receiver. Using deterministic and random models, the waveform and filter design problem is divided into three optimization problems. The robust waveform and filter are then obtained by solving these problems. In the deterministic model, we prove that the robust waveform and filter impulse response can be generated by a pseudorandom code. In the random model, the robust waveform and filter impulse response can be obtained by an alternative projection algorithm. Numerical results indicate that the worst SINR of the robust waveform and filter is higher than that of the traditional waveform and filter. [ABSTRACT FROM AUTHOR]