In this paper, the individual secrecy of two-way wiretap channel is investigated, where two legitimate users' messages are separately guaranteed secure against an external eavesdropper. For one thing, in some communication scenarios, the joint secrecy is impossible to achieve both positive secrecy rates of two users. For another, the individual secrecy satisfies the secrecy demand of many practical communication systems. Thus, firstly, an achievable secrecy rate region is derived for the general two-way wiretap channel with individual secrecy. In a deterministic channel, the region with individual secrecy is shown to be larger than that with joint secrecy.Secondly, outer bounds on the secrecy capacity region are obtained for the general two-way wiretap channel and for two classes of special two-way wiretap channels.The gap between inner and outer bounds on the secrecy capacity region is explored via the binary input two-way wiretap channels and the degraded Gaussian two-way wiretap. Most notably, the secrecy capacity regions are established for the XOR channel and the degraded Gaussian two-way wiretap channel.Furthermore, the secure sum-rate of the degraded Gaussian two-way wiretap channel under the individual secrecy constraint is demonstrated to be strictly larger than that under the joint secrecy constraint.