This paper studies the intercept behavior of an industrial wireless sensor network (WSN) consisting of a sink node and multiple sensors in the presence of an eavesdropping attacker, where the sensors transmit their sensed information to the sink node through wireless links. Due to the broadcast nature of radio wave propagation, the wireless transmission from the sensors to the sink can be readily overheard by the eavesdropper for interception purposes. In an information-theoretic sense, the secrecy capacity of the wireless transmission is the difference between the channel capacity of the main link (from sensor to sink) and that of the wiretap link (from sensor to eavesdropper). If the secrecy capacity becomes non-positive due to the wireless fading effect, the sensor's data transmission could be successfully intercepted by the eavesdropper and an intercept event occurs in this case. However, in industrial environments, the presence of machinery obstacles, metallic frictions and engine vibrations makes the wireless fading fluctuate drastically, resulting in the degradation of the secrecy capacity. As a consequence, an optimal sensor scheduling scheme is proposed in this paper to protect the legitimate wireless transmission against the eavesdropping attack, where a sensor with the highest secrecy capacity is scheduled to transmit its sensed information to the sink. Closed-form expressions of the probability of occurrence of an intercept event (called intercept probability) are derived for the conventional round-robin scheduling and the proposed optimal scheduling schemes. Also, an asymptotic intercept probability analysis is conducted to provide an insight into the impact of the sensor scheduling on the wireless security. Numerical results demonstrate that the proposed sensor scheduling scheme outperforms the conventional round-robin scheduling in terms of the intercept probability.