Venezuela’s opposition, stung by recent setbacks, is grappling for its next move to try to unseat President Nicolás Maduro. But first, its leader Juan Guaidó has to safely get back into Venezuela, where the government is threatening to jail him.

Mr. Guaidó said in an audio recording posted Wednesday on his Twitter account that he would soon return to Caracas from Colombia where he oversaw a U.S.-backed plan to deliver humanitarian aid. That effort descended into violence when state security and armed gangs loyal to Mr. Maduro attacked activists at the border.

The opposition leader said he would call for protests on the day of his return, without confirming when that will be. He said he would also announce actions aimed at undermining Mr. Maduro’s hold on the bureaucracy and convincing civil servants to abandon the president. He didn’t offer details.

“This process that we’ve begun is absolutely irreversible,” Mr. Guaidó said. “We aren’t going to abandon the streets until we achieve the end of the usurpation, a transitional government and, of course, free elections.”

Mr. Guaidó’s return sets up another showdown with Mr. Maduro with risks for both men as a political crisis is deepening in a nation ravaged by Latin America’s worst economic collapse on record.