Some pension-fund managers are venturing further into unusual investment territory as this year’s plunge in bond yields makes it harder to find decent long-term returns.

Funds are dabbling in riskier asset classes, including private markets, real-estate projects, infrastructure financing and direct lending. Some are making riskier fixed-income bets, buying volatile assets such as 100-year Argentine government bonds. Others are going farther afield, investing in greenhouses and waste management.

“How...