In this paper, we investigate the secrecy performance of an energy harvesting relay system, where a legitimate source communicates with a legitimate destination via the assistance of multiple trusted relays. In the considered system, the source and relays deploy the time-switching-based radio frequency energy harvesting technique to harvest energy from a multi-antenna beacon. Different antenna selection and relay selection schemes are applied to enhance the security of the system. Specifically, two relay selection schemes based on the partial and full knowledge of channel state information, i.e., optimal relay selection and partial relay selection, and two antenna selection schemes for harvesting energy at source and relays, i.e., maximizing energy harvesting channel for the source and maximizing energy harvesting channel for the selected relay, are proposed. The exact and asymptotic expressions of secrecy outage probability in these schemes are derived. We demonstrate that applying relay selection approaches in the considered energy harvesting system can enhance the security performance. In particular, optimal relay selection scheme outperforms partial relay selection scheme and achieves full secrecy diversity order, regardless of energy harvesting scenarios.