In 2019, writer and historian Timothy Phillips embarked on a 3,000-mile trek along the route of Europe’s postwar dividing line—almost a third was on foot. The trip began in Norway’s far north and ended where Turkey and Azerbaijan meet, and in his engrossing “Retracing the Iron Curtain,” Mr. Phillips uses that journey to tell the story of this brutal “border of borders,” which in the early days after World War II reached much further than is typically recalled.

And so Mr. Phillips shows up in Bornholm, a Danish island in the Baltic, which was still being “liberated” by the Soviets when Churchill spoke of an Iron Curtain….