In this paper, an energy harvesting scheme for a multi-user multiple-input-multiple-output (MIMO) secrecy channel with artificial noise (AN) transmission is investigated. Joint optimization of the transmit beamforming matrix, the AN covariance matrix, and the power splitting ratio is conducted to minimize the transmit power under the target secrecy rate, the total transmit power, and the harvested energy constraints. The original problem is shown to be non-convex, which is tackled by a two-layer decomposition approach. The inner layer problem is solved through semi-definite relaxation, and the outer problem is shown to be a single-variable optimization that can be solved by one-dimensional (1-D) line search. To reduce computational complexity, a sequential parametric convex approximation (SPCA) method is proposed to find a near-optimal solution. Furthermore, tightness of the relaxation for the 1-D search method is validated by showing that the optimal solution of the relaxed problem is rank-one. Simulation results demonstrate that the proposed SPCA method achieves the same performance as the scheme based on 1-D search method but with much lower complexity.