BERLIN—Volvo Cars said it will start producing Lynk & Co’s sport-utility vehicle in Belgium next year, marking the first production of a Chinese automotive brand in Europe.

Lynk, which was formed in 2016, is jointly owned by car makers Volvo and Geely Auto, and their owner, Zhejiang Geely Holding Group Co. Last year Lynk launched the 01 SUV, which is a hybrid, and previewed a sporty sedan, the 03.

Volvo...