We investigate the secrecy performance of dual-hop amplify-and-forward multi-antenna relaying systems over Rayleigh fading channels, considering the direct link between the source and the destination. In order to exploit the available direct link and the multiple antennas for secrecy improvement, different linear processing schemes at the relay and different diversity combining techniques at the destination are proposed, namely: 1) zero-forcing/maximal ratio combining (ZF/MRC); 2) ZF/selection combining (ZF/SC); 3) maximal ratio transmission/MRC (MRT/MRC); and 4) MRT/SC. For all these schemes, we present new closed-form approximations for the secrecy outage probability. Moreover, we investigate a benchmark scheme, i.e., cooperative jamming/ZF (CJ/ZF), where the secrecy outage probability is obtained in exact closed-form. In addition, we present asymptotic secrecy outage expressions for all the proposed schemes in the high signal-to-noise ratio (SNR) regime, in order to characterize key design parameters, such as secrecy diversity order and secrecy array gain. The outcomes of this paper can be summarized as follows: 1) MRT/MRC and MRT/SC achieve a full diversity order of $M+1$ , ZF/MRC and ZF/SC achieve a diversity order of $M$ , while CJ/ZF only achieves unit diversity order, where $M$ is the number of antennas at the relay; 2) ZF/MRC (ZF/SC) outperforms the corresponding MRT/MRC (MRT/SC) in the low SNR regime, while becomes inferior to the corresponding MRT/MRC (MRT/SC) in the high SNR; and 3) all the proposed schemes tend to outperform the CJ/ZF with moderate number of antennas, and linear processing schemes with MRC attain better performance than those with SC.