How secure is KeePassX?

Programs may have access to the clipboard, for example you copy some text from a webpage and paste it to gedit. This should never happen without user interaction, unless KeePassX has a security vulnerability which another malware (very rare on Unix systems) could then use. Don't use software which you don't trust.

If you want to decrease the probability that your passwords go to someone else, encrypt your home folder, swap and ram, use a good login password, disable user name list in login manager (like gdm). That way the only possible way to get access to your passwords is when KeePassX is running, ie. when you are logged in and have some old insecure programs running.

To exclude KeepassX from adding passwords to the clipboard history, add KeepassX to the exclude list in

settings -> security and privacy -> files and applications

That way, KeepassX won't be recorded in ZeitGeist or the Dash and for example Diodon, will not add passwords to the history list.