The exchange-traded fund industry has claimed credit for democratizing strategies once available only to the rich, such as trading oil futures or using leverage to amplify returns. The latest target: your tax bill.

The decades-old practice known as tax-loss harvesting, or strategically taking investment losses to offset income, is a perfectly legal maneuver that doesn’t so much dodge taxes as defer them. Delaying is valuable because investors earn a return while Uncle Sam waits to get paid. Digital advice firms are pitching...