Examining Rio de Janeiro's milícias (‘militias’) through the ‘coercive brokerage’ concept can reveal how they are central to how states and markets function. By tracing their emergence through moments of political and economic rupture, this article reveals how milícias responded to the social dilemmas of marginalised populations. Drawing from archival documentation, interviews, and ethnographic fieldnotes, this article argues that by brokering solutions to collective action problems and attempting to level‐up inequalities, milícias gained access to the political system and were able to shape the urban political economy. However, their coercive force also stimulated fresh contradictions, leading to a new set of structural, symbolic, and physical violences.