Losses in the energy sector’s junk-bond market are spreading beyond oil-and-gas producers amid a prolonged slump in commodity prices, further rattling investors who are now preparing for a wave of defaults next year.

Bonds from electric utilities including Dynegy Inc., AES Corp. and NRG Energy Inc. have declined in recent days, reflecting concerns that falling natural-gas prices will drag down electricity prices as well. A Dynegy bond is down 10.9​ cents on the dollar over the past week to 85.6 cents, an AES Corp. bond is...