The U.S. economy and stock market have just turned in their best performance in years, so it seems like buzzkill to hand the microphone to someone who thinks the path ahead could be much bleaker.

Still, when it’s Ray Dalio, founder of hedge-fund manager Bridgewater Associates LP, it’s worth listening. That’s not so much because of Bridgewater’s size and success but because Mr. Dalio looks at the world through a unique prism.

That prism explains how his firm managed to anticipate and profit from the 2008 financial crisis. While he doesn’t see another crisis in the offing, he does see the same underlying stresses at work: Americans have accumulated far more debt than they have assets and income to support.

Not only will this drag on growth and markets, it will leave the economy acutely vulnerable to higher interest rates. The relevant parallel, he says, is not the early 1930s, when the economy imploded, but the late 1930s when the Federal Reserve tightened monetary policy and inadvertently extended the Great Depression. Today, the central bank must balance the short-term need for higher interest rates to contain inflation against the long-term need for low rates to work off the debt overhang and sustain high asset prices.

“It becomes more and more difficult to balance those things as time goes on,” Mr. Dalio said when we met at his Westport, Conn., office in November. “It may not be a problem in the next year or two, but the risk of not getting it right increases with time.”