Alstom SA and Siemens AG’s planned rail merger appeared to be increasingly in danger of collapse, with the French company warning of a possible block by European antitrust regulators and its former German rival said to be considering alternatives for its business.

“It’s a very frustrating moment for us. We’ll fight until the end,” Alstom Chief Executive Officer Henri Poupart-Lafarge said on a call with analysts on Thursday. The French equipment maker said in a statementthat its attempts to render the deal more palatable to the European Commission may come up empty.

Siemens and Alstom submitted on Dec. 12...