In this paper, we give the covariant formulation of second gradient electrodynamics, which is a generalized electrodynamics of second order including derivatives of higher order. The relativistic form of the field equations, the energy-momentum tensor and the Lorentz force density are presented. For an electric point charge, the generalized Liénard-Wiechert potentials and the corresponding electromagnetic field strength tensor are given as retarded integral expressions. Explicit formulas for the electromagnetic potential vector and electromagnetic field strength tensor of a uniformly moving point charge are found without any singularity and discontinuity. In addition, a world-line integral expression for the self-force of a charged point particle is given. The relativistic equation of motion of a charged particle coupled with electromagnetic fields in second gradient electrodynamics is derived, which is an integro-differential equation with nonlocality in time. For a uniformly accelerated charge, explicit formulas of the self-force and the electromagnetic mass, being non-singular, are given. Moreover, the wave propagation and the dispersion relations in the vacuum of second gradient electrodynamics are analyzed. Three modes of waves were found: one non-dispersive wave as in Maxwell electrodynamics, and two dispersive waves similar to the wave propagation in a collisionless plasma.