We consider a cooperative system consisting of a source node, a destination node, N (N >1) wireless-powered relays, and an eavesdropper. Each relay is assumed to be with a nonlinear energy harvester, in which there exists a saturation threshold, limiting the level of the harvested power. For decode-and-forward and power splitting protocols, the Kth best relay is selected to assist the source-relay-destination transmission. An analytical expression for the secrecy outage probability is derived, and also verified by simulation.