Thousands of people took to the streets of Yangon on Saturday to denounce this week’s coup and demand the release of elected leader Aung San Suu Kyi, in the first such demonstration since the generals seized power.

“Military dictator, fail, fail; Democracy, win, win,” protesters chanted, calling for the military to free Nobel Peace laureate Suu Kyi and other leaders of her National League for Democracy (NLD) party who have been detained since the coup on Monday (Feb 1).

“Against military dictatorship” read the banner at the front of the march. Many protesters were...