Genomic loci with regulatory potential can be annotated with various properties. For example, genomic sites bound by a given transcription factor (TF) can be divided according to whether they are proximal or distal to known promoters. Sites can be further labeled according to the cell types and conditions in which they are active. Given such a collection of labeled sites, it is natural to ask what sequence features are associated with each annotation label. However, discovering such label-specific sequence features is often confounded by overlaps between the labels, e.g. if regulatory sites specific to a given cell type are also more likely to be promoter-proximal, it is difficult to assess whether motifs identified in that set of sites are associated with the cell type or associated with promoters. In order to meet this challenge, we developed SeqUnwinder, a principled approach to deconvolving interpretable discriminative sequence features associated with overlapping annotation labels. We demonstrate the novel analysis abilities of SeqUnwinder using three examples. Firstly, SeqUnwinder is able to unravel sequence features associated with the dynamic binding behavior of TFs during motor neuron programming from features associated with chromatin state in the initial embryonic stem cells. Secondly, we characterize distinct sequence properties of multi-condition and cell-specific TF binding sites after controlling for uneven associations with promoter proximity. Finally, we demonstrate the scalability of SeqUnwinder to discover cell-specific sequence features from over one hundred thousand genomic loci that display DNase I hypersensitivity in one or more ENCODE cell lines.