In this paper, we study physical layer security in an underlay cognitive radio (CR) network. We consider the problem of secure communication between a secondary transmitter–receiver pair in the presence of randomly distributed eavesdroppers under an interference constraint set by the primary user. For different channel knowledge assumptions at the transmitter, we design four transmission protocols to achieve the secure transmission in the CR network. We give a comprehensive performance analysis for each protocol in terms of transmission delay, security, reliability, and the overall secrecy throughput. Furthermore, we determine the optimal design parameter for each transmission protocol by solving the optimization problem of maximizing the secrecy throughput subject to both security and reliability constraints. Numerical results illustrate the performance comparison between different transmission protocols.