In an underlay cognitive simultaneous wireless information and power transfer (SWIPT) network, communication from secondary user (SU) to secondary destination (SD) is accomplished with decode-and-forward (DF) relays. Multiple energy-constrained relays are assumed to harvest energy from SU via power splitting (PS) protocol and complete SU secure information transmission with beamforming. Hence, physical layer security (PLS) is investigated in cognitive SWIPT network. In order to interfere with eavesdropper and improve relay's energy efficiency, a destination-assisted jamming scheme is proposed. Namely, SD transmits artificial noise (AN) to interfere with eavesdropping, while jamming signal can also provide harvested energy to relays. Beamforming vector and power splitting ratio are jointly optimized with the objective of SU secrecy capacity maximization. We solve this non-convex optimization problem via a general two-stage procedure. Firstly, we obtain the optimal beamforming vector through semi-definite relaxation (SDR) method with a fixed power splitting ratio. Secondly, the best power splitting ratio can be obtained by one-dimensional search. We provide simulation results to verify the proposed solution. Simulation results show that the scheme achieves the maximum SD secrecy rate with appropriate selection of power splitting ratio, and the proposed scheme guarantees security in cognitive SWIPT networks.