Energy harvesting relays are predicted to play a pivotal role in large scale networks. This paper evaluates the secrecy performance of a system that employs a two-way decode-and-forward relay assisting transmission between two nodes. The relay has RF energy harvesting capability and it can receive energy from the RF signal and the transmission of the system can be overheard by an eavesdropper. More specifically, we derive an exact expression for the interception probability when the main and wiretap links experience generalized κ-μ fading. The impacts of the power- splitting factor at the relay and the fading parameters on the secrecy performance of the considered system are also assessed. Numerical and simulation results are presented to verify the derived results.