This paper presents a detailed secrecy outage performance analysis of correlated multi-antenna wiretap channels with three popular diversity combining schemes, namely maximal ratio combining, selection combining, and equal gain combining at the legitimate receiver. For single input multiple output wiretap channels, both exact and asymptotic expressions are derived for the secrecy outage probability (SOP) of these systems. The findings suggest that, compared with the scenario where all the channels are independent, correlation of the main channels alone increases the SOP by a factor of 1/ det(U), where det(U) is the determinant of correlation matrix U. In contrast, in the high signal-to-noise ratio regime at the legitimate receiver, correlation between the main channels and the eavesdropper channels has a positive effect on SOP. Moreover, for multiple input and multiple output wiretap channels, the SOP of two transmit antenna selection (TAS) schemes are analyzed for the considered correlated channel model. The SOP relationship of the both TAS schemes is quantified by the secrecy array gain. Finally, numerical simulations are conducted to corroborate the analytical results.