This paper explores the co-existence of a macro cell and a small cell for heterogeneous cellular networks, where a macro base station (MBS) and small base station (SBS) transmit to respective macro user (MU) and small user (SU) through their shared spectrum in the face of a common eavesdropper. We consider two spectrum sharing mechanisms, namely the overlay spectrum sharing (OSS) and underlay spectrum sharing (USS). In the OSS, MBS and SBS take turns to access their shared spectrum. By contrast, the USS allows MBS and SBS to simultaneously transmit over the shared spectrum with the aid of power control for limiting their mutual interference, thus called interference-limited USS (IL-USS). In order to take advantage of mutual interference in confusing the eavesdropper without causing adverse effect on the MU, we propose an interference-canceled USS (IC-USS) scheme. Closed-form expressions of overall outage probability and intercept probability are derived for OSS, IL-USS and IC-USS schemes by taking into account both MBS-MU and SBS-SU transmissions. The secrecy diversity analysis is also carried out by characterizing an asymptotic behavior of the overall outage probability with a given intercept probability in the high signal-to-noise ratio region. It is shown that the secrecy diversity gains of conventional OSS and IL-USS are zero, whereas the proposed IC-USS achieves a higher secrecy diversity gain of one. This implies that with an arbitrarily low overall intercept probability, the conventional OSS and IL-USS methods converge to their respective outage probability floors, however the proposed IC-USS scheme can make the overall outage probability asymptotically decrease to zero by simply increasing the transmit power. Additionally, numerical results demonstrate an obvious advantage of the proposed IC-USS over OSS and IL-USS against eavesdropping.