The yield on the benchmark U.S. 10-year Treasury note closed Tuesday below 1.4% for the first time on record, the latest milestone of the record-setting declines in global government bond yields following the U.K.’s vote in late June to quit the European Union.

Benchmark 10-year government debt yields from Germany, the U.K., Switzerland, France, Denmark and Sweden all fell to fresh historic lows on Tuesday as persistent uncertainty surrounding the economic and political fallout from Brexit continues to boost demand for haven...