In the Harry Potter series Harry's parents go into hiding by using a Fidelus Charm which needs a secret keeper. So they chose Peter Pettigrew as their secret keeper and were betrayed. Why didn't they make each other their secret keeper? James could have made Lily secret keeper (of his and Harry's secret) and Lily could have made James (of her and Harry's secret) their secret keeper. So there wouldn't have been any chance of third person betraying them.
I think that it is because of the one that is hidden can't be the secret keeper, even if there is more than one person hidden. If you think about it, the possibility of being each others secret keeper would be like being your own secret keeper. The concept of the protection is that an external person knows where to find them.