The realization of a smart grid requires deployment of sensors or measurement devices (MDs) that generate data; this data is securely collected in a central controller or power operator (PO) for further processing. AsMDs are scattered over a large geographical area, they need help of relaying nodes or data concentrators (DCs) to forward their data to the PO. However, the DC nodes are third party devices and are not reliable. In this work, we consider the DC to be an energy harvesting node and is assumed to have a power splitter at its receiver to decode information and harvest energy simultaneously from the MD transmission using simultaneous wireless information and power transfer (SWIPT) technique. However, the DC tends to eavesdrop on the received data, thus reducing the secrecy capacity of MD-PO links. Since both MDs and the DC are selfish with conflicting interests, we model the interaction between them as a non-cooperative Stackelberg game. The objective of the MDs is to maximize the secrecy capacity of their links to the PO, whereas the DC aims at maximizing the information it can decode from the received MDs' signal. The existence of a unique equilibrium point is proved through mathematical analysis. Further, a distributed algorithm is proposed, following which the players will attain the equilibrium of the game as predicted by analytical results. Simulation results validate the analytical results and demonstrate that the proposed framework improves the secrecy capacity of the considered network significantly.