Not just any person sets out to be a spy. A person that becomes a spy knows that they are taking a big risk. They have to want to take that risk. For that reason, they believe in what they are doing. When a person does work that they believe in, they are more credible. For this reason, a spy is worth believing.
If a spy is loyal then he can be believed. This is because government spies tend to be paid well and rely on their home country for documents that keep them safe, i.e., production of passports and identity records. If a person is found out to be a double spy, however, they cannot be trusted.
Yes, a spy is worth believing, but it also depends on the circumstances. A spy may be trained to lie if captured, but everyone is different. Some spies may only be spies because they were forced into the position, depending on which country they are from. They should be trusted if they earn our trust.
It depends on the situation and the motives of the spy. Spies can always have an agenda, but it's always worth investigating what they uncover. Sometimes it can be falsified, sometimes not, but if you're going to the trouble of espionage, at least take a look at what comes out.