HONG KONG—Chief Executive Carrie Lam offered her first major concession to protesters’ demands after months of unrest in Hong Kong, saying she would withdraw the extradition bill that sparked the turmoil.

In a recorded address Wednesday, Mrs. Lam said the move was to allay public concerns. She also pledged to increase dialogue with the community and said she would seek an independent review of the political, economic and social climate.

The...