There’s a right-wing candidate who unexpectedly rose to power on a wave of nationalist anger despite a history of making rude and racist comments. A woman from a left-wing party vying to become the country’s first female leader. Cries to not just defeat politicians, but to lock them up. Rampant corruption growing out of campaign financing. A country “divided into two irreconcilable parts,” in the words of one observer.

The country in question, by the way, is Brazil, and the observer is filmmaker Petra Costa, whose sobering documentary, “Edge of Democracy,” premiered at the 2019 Sundance Film Festival. And if the echoes of the United States are unmistakable and disquieting, that was no doubt the point of Sundance giving the film a coveted opening-night berth.

But it’s not the only reason to give the film a prime timeslot. “Edge of Democracy,” as sprawling and occasionally confusing as it can be,...