Spatially coupled protograph-based LDPC codes, composed of many identical protographs coupled with their neighboring protographs, have recently attracted much attentions. This is due to the fact that spatial coupling increases the belief propagation threshold of coupled code to the maximum a-priori threshold of the underlying protograph LDPC code. We consider spatially coupled protograph-based LDPC codes for a three terminal erasure relay channel. It is observed that density evolution thresholds, the maximal erasure probability of the channel for which decoding error probability converges to zero, of spatially coupled codes, especially spatially coupled Mackay-Neal codes, is very close to the theoretical limits for the relay channel. We believe that this empirical result suggests that spatially coupled protograph-based LDPC codes have great potential to achieve the theoretical limits of general relay channels.