Fueled by bursts in energy costs, including natural gas, U.S. inflation spiked to an 8.6% annual rate in May, reaching the highest point in more than 40 years.

The U.S. Department of Labor on Friday said its Consumer Price Index showed energy costs overall last month climbed 35% from May 2021. Energy commodities, a subcategory including oil and gas, soared 50% year/year and led the upward charge.

Natural gas prices in May reached the highest level in 14 years – and did so again this month – amid fears of a global supply squeeze induced by Russia’s war in Ukraine. Europe, already low on gas in storage prior to the war, is now working to wean itself from Russia supplies in opposition of the conflict. Countries across the continent are looking for U.S. exports of liquefied...