VILNIUS, Lithuania — A procession carrying the coffins of four American soldiers who died during a training exercise in Lithuania will proceed past the capital’s cathedral square Thursday.

Government officials and religious leaders are expected to pay their last respects before the bodies are taken to the airport to be returned to the U.S.

The soldiers, part of the 1st Armored Brigade Combat Team, 3rd Infantry Division, were on a tactical training exercise when they and their vehicle went…