Data Warehouses (DWs) are currently considered to be the cornerstone of Business Intelligence (BI) systems. Security is a key issue in DWs since the business information that they manage is crucial and highly sensitive, and should be carefully protected. However, the increasing amount of data available on the Web signifies that more and more DW systems are considering the Web as the primary data source through which to populate their DWs. XML is therefore widely accepted as being the principal means through which to provide easier data and metadata interchange among heterogeneous data sources from the Web and the DW systems. Although security issues have been considered during the whole development process of traditional DWs, current research lacks approaches with which to consider security when the target platform is based on the Web and XML technologies. The idiosyncrasy of the unstructured and semi-structured data available on the Web definitely requires particular security rules that are specifically tailored to these systems in order to permit their particularities to be captured correctly. In order to tackle this situation, in this paper, we propose a methodological approach based on the Model Driven Architecture (MDA) for the development of Secure XML DWs. We therefore specify a set of transformation rules that are able to automatically generate not only the corresponding XML structure of the DW from secure conceptual DW models, but also the security rules specified within the DW XML structure, thus allowing us to implement both aspects simultaneously. A case study is provided at the end of the paper to show the benefits of our approach.