HONG KONG—Police made their first arrest underneath China’s new countrywide-protection law for Hong Kong, apprehending a male for waving an independence flag, as 1000’s of protesters took to the streets to defy Beijing’s go to crush dissent in the city.

With an substantial show of pressure on Wednesday, officers in riot gear confronted demonstrators who collected in Hong Kong’s key browsing district, producing arrests, firing pepper spray and hoisting a purple banner warning protesters could be in violation of the new law. The male arrested…