In this paper, we consider a two-way relaying scenario with one pair of source nodes, one relay and one eavesdropper. All nodes are equipped with multiple antennas, and we study the impact of antenna selection on such a secure communication scenario. Three transmission schemes with different tradeoff between secure performance and complexity are investigated respectively. Particularly, when antenna selection is implemented at the relay and no artificial noise is introduced, the condition to realize secure transmissions is established. Then by allowing the sources to inject artificial noise into the system, the secure performance is evaluated by focusing on different eavesdropping strategies. When both the relay and the sources send artificial noise, a low complexity strategy of antenna selection is proposed to efficiently utilize the antennas at the sources and the relay. The developed asymptotic results demonstrate that, by adding more artificial noise and performing joint antenna selection, a better secure performance, such as a larger secrecy rate and a lower outage probability, can be realized at a price of imposing more complexity on the system. Simulation results are also provided to demonstrate the accuracy of the developed analytical results.