Venezuela’s opposition, stung by recent setbacks, is grappling for its next move to try to unseat President Nicolás Maduro. But first, its leader Juan Guaidó has to safely get back into Venezuela, where the government is threatening to jail him.

Mr. Guaidó said in an audio recording posted Wednesday on his Twitter account that he would soon return to Caracas from Colombia where he oversaw a U.S.-backed plan to deliver humanitarian aid. That effort descended into violence when state security and armed gangs loyal to Mr. Maduro...