MANAMA, Bahrain—Soldiers fired live rounds on thousands of marching protesters in this Persian Gulf emirate, dramatically escalating the conflict in one of the world's key energy corridors on a day when deadly clashes also mounted in Libya and Yemen.

The daily, deadly violence between security forces and government supporters in these countries is suggesting the two-month wave of unrest that has forced out entrenched leaders in Tunisia and Egypt has moved into unstable new territory.

President...