In this paper, we examine the physical-layer security for a spectrum sharing system consisting of multiple source-destination pairs, which dynamically access their shared spectrum for data transmissions in the presence of an eavesdropper. We propose a source cooperation (SC) aided opportunistic jamming framework for protecting the transmission confidentiality of the spectrum sharing system against eavesdropping. Specifically, when a source node is allowed to access the shared spectrum for data transmissions, another source is opportunistically selected in the spectrum sharing system to transmit an artificial noise for disrupting the eavesdropper without affecting the legitimate transmissions. We present two specific SC aided opportunistic jamming schemes, namely the SC aided random jammer selection (RJS) and optimal jammer selection (OJS), which are referred to as the SC-RJS and SC-OJS, respectively. We also consider the conventional non-cooperation as a baseline. We derive closed-form intercept probability expressions for the non-cooperation, SC-RJS and SC-OJS schemes, based on which their secrecy diversity gains are determined through an asymptotic intercept probability analysis in the high signal-to-noise ratio (SNR) region. It is proved that the conventional non-cooperation exhibits a secrecy diversity of zero, whereas the proposed SC-RJS and SC-OJS achieve a higher secrecy diversity of one. This also surprisingly means that no additional secrecy diversity gain is achieved by the optimal jammer selection compared to the random selection strategy. In addition, numerical results show that the intercept probability performance of the SC-OJS is always better than that of the SC-RJS and non-cooperation, even when the legitimate channel is worse than the eavesdropping channel.