Morro da Providência is one of Rio de Janeiro’s oldest favelas. For Gláucia da Silva, a young classical musician, the 30-minute hike from the base of the favela to her mother’s house follows a steep incline and a walkway lined with silver-dollar-sized bullet holes.

“There’s a lot of violence here and I’m worried that I may get caught up in it,” Ms. da Silva, 19, said while practicing Mozart’s third violin concerto in her room. She often covers her violin case with a colorful scarf, “so that the police won’t confuse it for a weapon.”