In the sliver of room between a new pair of shoes and the books you ordered online, retailers have found a different way to monetize the empty space in your packages.

Saks Fifth Avenue, Zulily and Barnes & Noble College are among several businesses that have joined a new marketplace allowing advertisers to buy and insert paper ads in customers’ boxes. More than 25 retailers have listed slots for sale in their packages in the weeks since the website, called UnDigital, went live.

The...