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We investigate the secrecy outage performance for a cooperative unauthenticated relay network where antenna selection is employed at the multi-antenna relay. Both traditional amplify-and-forward (AF) relaying and a cooperative jamming (CJ) protocol are studied. We characterize the exact secrecy outage probability (SOP) for the AF scheme, and analyze the asymptotic behaviour in terms of SOP for the CJ scheme. Although both the unauthenticated relay and the destination perceive diversity gain from antenna selection, we show that as the number of antennas grows, the SOP approaches one for AF, while it approaches zero for CJ. For a fixed number of antennas, we demonstrate that the CJ scheme is better than AF relaying for high SNR, and its SOP approaches zero when the SNR goes to infinity. The theoretical analysis is also validated via several numerical examples.