Network Embedding is the task of learning continuous node representations for networks, which has been shown effective in a variety of tasks such as link prediction and node classification. Most of existing works aim to preserve different network structures and properties in low-dimensional embedding vectors, while neglecting the existence of noisy information in many real-world networks and the overfitting issue in the embedding learning process. Most recently, generative adversarial networks (GANs) based regularization methods are exploited to regularize embedding learning process, which can encourage a global smoothness of embedding vectors. These methods have very complicated architecture and suffer from the well-recognized non-convergence problem of GANs. In this paper, we aim to introduce a more succinct and effective local regularization method, namely adversarial training, to network embedding so as to achieve model robustness and better generalization performance. Firstly, the adversarial training method is applied by defining adversarial perturbations in the embedding space with an adaptive $L_2$ norm constraint that depends on the connectivity pattern of node pairs. Though effective as a regularizer, it suffers from the interpretability issue which may hinder its application in certain real-world scenarios. To improve this strategy, we further propose an interpretable adversarial training method by enforcing the reconstruction of the adversarial examples in the discrete graph domain. These two regularization methods can be applied to many existing embedding models, and we take DeepWalk as the base model for illustration in the paper. Empirical evaluations in both link prediction and node classification demonstrate the effectiveness of the proposed methods.