We look into adopting improper Gaussian signaling (IGS) in order to enhance the secrecy performance of an underlay cognitive radio network since in interference-limited networks asymmetric signals have been proven to achieve better performance than the proper ones. In this letter, we analyze a scenario where a secondary user (SU) being eavesdropped transmit concurrently with a primary user. A closed-form expression for the secrecy outage probability when only statistical channel state information is available at the secondary transmitter is derived. Results show that IGS can be beneficial for the SUs, especially when secondary transmit power is higher than primary transmit power.