In this article, a wireless wiretap channel with artificial noise assisted transmission and active eavesdropper is considered, where, wireless channel coefficients are correlated. Aiming at analyzing wireless channels correlation effects on the physical layer security, we exploit copula theory and obtain closed form expressions for the probability of positive secrecy rate, average secrecy rate, and generalized secrecy outage probability. Then, the obtained analytical results are evaluated numerically under positive dependence, independence and negative dependence correlation structures and it is shown that in different scenarios, the effect of correlated fading on the security performance can be beneficial or harmful.