WASHINGTON -- The number of U.S. workers filing new claims for state unemployment benefits fell more than expected last week even as the tally of workers collecting benefits for more than a week and another figure aimed at mitigating the effects of volatility in continuing claims data rose to record highs.

Initial claims for jobless benefits fell 12,000 to a seasonally adjusted 631,000 in the week ended May 16, the Labor Department said in a weekly report Thursday. Economists surveyed by Dow Jones Newswires had expected claims...