Unmanned aerial vehicle (UAV) relay can effectively improve the coverage and performance of land communications, which makes it prospective to be deployed in various applications. However, there exist some practical challenges we have to face in UAV-enabled communication system designing, such as secrecy and wiretapping threats due to the air-to-ground line-of-sight communication link, and energy consumption issues because of the limitation in energy-constraint. To deal with these two key issues, we develop a novel UAV swarm assisted multi-hop mobile relay system which can be applied in special scenarios with severe blockage or long distance to enhance communication performance. An effective cooperative transmission scheme is proposed to address the security issues in a physical layer security perspective, where several UAVs serve as multi-hop relays forwarding information between ground users and the other UAVs are employed as friendly jammers confusing the ground eavesdroppers. The minimum secrecy energy efficiency (MSEE), namely the minimum achievable secrecy rate per energy consumption unit over legitimate links, is designed as the performance indicator to quantify the secure and energyefficient transmission. Subject to information-causality, transmit power, and mobility constraints, the UAV swarm assisted MSEE maximization transmission scheme is formulated into a complicated non-convex problem. To solve the non-convex fractional optimization problem, we decouple the original problem into sub-problems and further propose an efficient algorithm by applying the block coordinate descent method, successive convex approximation (SCA) techniques, and Dinkelbach method. Numerical results demonstrate that the proposed scheme achieves considerable performance enhancement on MSEE compared with benchmark schemes.