At present, the proposed authentication schemes can be classified into three categories. The first category is the watermarking authentication schemes in which the watermark is independent of the multimedia content. The second category is the signature-based authentication schemes in which the signature is generated by the multimedia content and is not embedded into the multimedia content. The third category is the content-based watermarking authentication schemes in which the watermark is generated by the multimedia content. However, there exists the security question in the above-mentioned three categories of the authentication schemes. In this paper, a novel concept that is called "authentication set" is used to analyze the security of the authentication schemes in detail. Several novel concepts on the authentication set are defined, which are called "Cover Authentication Set", "Attack Authentication Set", "Watermark-based Authentication Set" or "Signature-based Authentication Set", "Verified Authentication Set" and "Malicious-attack Authentication Set". According to the relation among the aforementioned sets, the security of the authentication schemes is exploited. Furthermore, a conclusion is drawn according to the analysis result. At the same time the principle that guides the design of the more secure authentication schemes is presented. Finally, as an example, a novel authentication design method based on multi-feature watermarks is proposed according to the design principle. The experimental results prove the validity of the design method and the significance of the guide principle.