(CNN) Christopher Cantwell, who was featured in a Vice documentary about a white supremacist rally in Charlottesville, Virginia, was denied bail on Thursday after turning himself in earlier, a senior law enforcement official said.

Police at the University of Virginia, where a torch-lit march was held on August 11, had issued warrants for his arrest on two counts of illegal use of tear gas and other gases, and one count of malicious bodily injury with a caustic substance. All the charges are felonies.

The New Hampshire resident surrendered to police in Lynchburg, Virginia, on Wednesday.

Cantwell was denied bond in Albemarle County General District Court, according to the senior law enforcement official in Charlottesville. He appeared in court via video conference from the Albemarle County Regional Jail.

A preliminary hearing was set for October 12.

Cantwell and dozens of others marched through the university grounds on August 11, carrying torches and chanting "Jews will not replace us" and "White lives matter." They were protesting a Charlottesville City Council plan to remove a statue of Confederate Gen. Robert E. Lee from a nearby park.

Protesters also chanted "blood and soil" -- an English translation of the Nazi slogan "Blut und Boden," which glorified rural living and held that only blood descent can entitle individuals to belonging in the nation.

Cantwell was brash and defiant in interviews with Vice filmed during and after the march. But he appeared tearful in a separate Facebook video the same weekend, saying he might be arrested but not specifying why.

In an interview with The New York Times over the weekend, he said the warrants stemmed from an incident during the march when he pepper-sprayed someone. Cantwell said he acted in self-defense.

"I thought that spraying that guy was the least damaging thing I could do," he told the paper. "In my left hand I had a flashlight. My other option, other than the pepper spray, was to break this guy's teeth. OK? And I didn't want to do that. I just wanted him to not hurt me."

On August 12, white nationalists gathered for a "Unite the Right" rally and clashed with counterprotesters in downtown Charlottesville. Heather Heyer, 32, was killed when a car plowed into a crowd of counterprotesters.

The alleged driver, James Alex Fields Jr., 20, has been charged with second-degree murder and other offenses. His next court appearance is Friday.

Two Virginia state troopers were killed in a helicopter crash nearby after monitoring events during the "Unite the Right" rally.