Both words have the meaning of hiding something, but each is preferred in a different context. "Covertly" refers to something not openly practised; done in a manner that is hidden, concealed or disguised. It can be used to describe someone doing something without others knowing. In addition, it is also used to refer to some government or military operation that is shrouded from public view.
"Secretly", on the other hand, refers to something done by only one or a few people and everyone in the group knows that they should not reveal this information to others.
The troops carried out military operations covertly in the wee hours of the morning. / The burglar watched the owners covertly from the closet.
The pair were secretly dating behind their parents' backs.