In this letter, we consider a multiple-input-multiple-output (MIMO) downlink system with simultaneous wireless information and power transfer (SWIPT), where the information sent to the desired receiver (DR) may be wiretapped by the malicious energy harvesting (EH) receivers (potential eavesdroppers). Assuming the channel state information (CSI) of the EH receivers is not perfectly known at the transmitter, we aim to maximize the worst-case secrecy rate by jointly designing the precoding matrix, AN covariance matrix and power splitting ratio, under the constraints of total transmit power and harvested energy at receivers. The formulated problem is non-convex and semi-infinite, which is hard to tackle. To solve it, we first deal with the non-convexity caused by CSI errors with the aid of the S-Procedure, and then employ the Taylor series approximation techniques to transfer the nonconvex problem into a convex optimization problem. Based on that, we propose an iterative algorithm with proved convergence to solve the original problem. Simulation results are finally provided to show the effectiveness of our proposed robust transmit design.