The Secluded Path problem models a situation where a sensitive information has to be transmitted between a pair of nodes along a path in a network. The measure of the quality of a selected path is its exposure, which is the total weight of vertices in its closed neighborhood. In order to minimize the risk of intercepting the information, we are interested in selecting a secluded path, i.e. a path with a small exposure. Similarly, the Secluded Steiner Tree problem is to find a tree in a graph connecting a given set of terminals such that the exposure of the tree is minimized. The problems were introduced by Chechik et al. in [ESA 2013]. Among other results, Chechik et al. have shown that Secluded Path is fixed-parameter tractable (FPT) on unweighted graphs being parameterized by the maximum vertex degree of the graph and that Secluded Steiner Tree is FPT parameterized by the treewidth of the graph. In this work, we obtain the following results about parameterized complexity of secluded connectivity problems. We give FPT-algorithms deciding if a graph G with a given cost function contains a secluded path and a secluded Steiner tree of exposure at most k with the cost at most C. We initiate the study of "above guarantee" parameterizations for secluded problems, where the lower bound is given by the size of a Steiner tree. We investigate Secluded Steiner Tree from kernelization perspective and provide several lower and upper bounds when parameters are the treewidth, the size of a vertex cover, maximum vertex degree and the solution size. Finally, we refine the algorithmic result of Chechik et al. by improving the exponential dependence from the treewidth of the input graph.