This paper selects an unlicensed relay among available self-powered relays to not only remain but also secure information transmission from an unlicensed source to an unlicensed destination. The relays harvest energy in signals of the unlicensed source and the licensed transmitter. Then, they spend the harvested energy for their relaying operation. Conditioned on the licensed outage restriction, the peak transmission power restriction, Rayleigh fading, and the licensed interference, the current paper proposes an exact closed-form formula of the secrecy outage probability to quickly evaluate the secrecy performance of the proposed relay selection method in cognitive radio networks with energy harvesting. The proposed formula is corroborated by computer simulations. Several results illustrate the effectiveness of the relay selection in securing information transmission. Additionally, the security capability is saturated at large peak transmission powers or large preset outage probabilities of licensed users. Furthermore, the security capability depends on many specifications among which the power splitting ratio, the relays’ positions, and the time switching ratio can be optimally selected to obtain the best security performance.