Existing efforts in safeguarding LLMs are limited in actively exposing the vulnerabilities of the target LLM and readily adapting to newly emerging safety risks. To address this, we present Purple-teaming LLMs with Adversarial Defender training (PAD), a pipeline designed to safeguard LLMs by novelly incorporating the red-teaming (attack) and blue-teaming (safety training) techniques. In PAD, we automatically collect conversational data that cover the vulnerabilities of an LLM around specific safety risks in a self-play manner, where the attacker aims to elicit unsafe responses and the defender generates safe responses to these attacks. We then update both modules in a generative adversarial network style by training the attacker to elicit more unsafe responses and updating the defender to identify them and explain the unsafe reason. Experimental results demonstrate that PAD significantly outperforms existing baselines in both finding effective attacks and establishing a robust safe guardrail. Furthermore, our findings indicate that PAD excels in striking a balance between safety and overall model quality. We also reveal key challenges in safeguarding LLMs, including defending multi-turn attacks and the need for more delicate strategies to identify specific risks.