How to ensure everything said is treated confidentially?

Generally, anything said between mentor and mentee should not be repeated elsewhere without the express consent of either party. However, there are exceptions to this, mentors will need to respect organisational policies on reporting of bullying or sexual harassment and there may be legal obligations that might apply.

Further, the mentoring relationship is private, in the sense that no one else has any right to know what you talk about, but the existence of the relationship is not secret.