I know I can get stock prices from Yahoo Finance or Quandl, but does anyone know where to get stock information? i.e., industry, country, sedol, primary exchange
This kind of data you are looking for is - as far as I know - not available for free.
Stock segmentation depends on various aspects and there are professional agencies that do this job. While MSCI, for example, classifies a stock in Sector A, STOXX classifies it into Sector B.
Also primary exchange depends on various aspects and Bloomberg and Thomson Reuters use different methods to evaluate the primay exchange.