We use superconnections to define and study some natural differential forms on the period domain D that parametrizes polarized Hodge structures of given type on a rational quadratic vector space V. These forms depend on a choice of vectors v1,…,vr∈V and have a Gaussian shape that peaks on the locus where v1,…,vr become Hodge classes. We show that they can be rescaled so that one can form theta series by summing over a lattice Lr⊂Vr. These series define differential forms on arithmetic quotients Γ\\D. We compute their cohomology class explicitly in terms of the cohomology classes of Hodge loci in Γ\\D. When the period domain is a hermitian symmetric domain of type IV, we show that the components of our forms of appropriate degree recover the forms introduced by Kudla and Millson. In particular, our results provide another way to establish the main properties of these forms.