PRAGUE—Far-right politicians from around Europe held a rally in a historic square here Thursday, addressing a modest crowd of a few hundred, but proclaiming a continent-sized ambition: to remake the European Union.

“The European Union is attempting to erase our nation states,” Dutch anti-Islam leader Geert Wilders, who shared the stage with French firebrand Marine Le Pen and others, told a smattering of flag-waving nationalists at the rally. “But we say no more to them!”

Hard-line...