One way to do this is to use BEDOPS gff2bed and bedmap.

For example, if you are working with GRCh38, you could get GENCODE annotations and convert them from GFF3 to BED:

$ wget -qO- ftp://ftp.sanger.ac.uk/pub/gencode/Gencode_human/release_25/gencode.v25.chr_patch_hapl_scaff.annotation.gff3.gz \
    | gunzip --stdout - \
    | gff2bed - \
    > annotations.bed

Then if your sequences are in a sorted BED file called sequences.bed, for example:

$ bedmap --echo --echo-map sequences.bed annotations.bed > answer.bed

This would give you your sequence and any annotations that overlap that sequence. Other --echo-* operations are available; see bedmap --help or the documentation online for more details.