RIGA, Latvia—Some 1,500 people marched in Riga Monday to commemorate Latvians who fought in Germany’s Waffen-SS divisions against the Soviet Union during World War II.

The annual march, held since 1990, has become an image nightmare for leaders in Latvia, the current European Union president, in recent years—fueling concerns that it could exacerbate already high tensions between the small Baltic country and its former Soviet ruler Russia.

...