Let me slightly update this answer with recent information from GENCODE V31 (July 2019, http://genome.ucsc.edu/goldenpath/newsarch.html ) which contains 18.536 annotated pseudogenes (not including polymorphic pseudogenes, according to documentation)
- group: Genes and Gene Prediction Tracks
- track: GENCODE Genes v12
- table: Pseudogenes (wgEncodeGencodePseudoGeneV31lift37)
- output format: select fields from primary and related tables
Specify output file name and check chrom, cdsStart, cdsEnd and name2 in the required fields to get the desired .bed file