"The Man Who Saw the Future", a short story by Edmond Hamilton, available at Project Gutenberg. You may have read it in one of these compilations.
Henri Lothiere is pulled from the 15th century to the 20th by two scientists:
"There was a sound of voices, and I turned to find that two men were bending over me. They were men like myself, yet they were at the same time like no men I had ever met! One was white-bearded and the other plump and bare of face. Neither of them wore cloak or tunic or hose. Instead they wore loose and straight-hanging garments of cloth.
"They were both greatly excited, it seemed, and were talking rapidly to each other as they bent over me. I caught a word or two of their speech in a moment, and found it was French they were talking. But it was not the French I knew, being so strange and with so many new words as to be almost a different language. I could understand the drift, though, of what they were saying.
[. . . .]
"'Henri Lothiere,' he repeated. 'Well, Henri, you must try to understand. You are not now in the year 1444. You are five hundred years in the future, or what would seem to you the future. This is the year 1944.'
"'And Rastin and I have jerked you out of your own time across five solid centuries,' said the other, grinning.
They show Henri the marvels of the modern world:
"My brain reeled at the wonders that they showed. One took an instrument from the table that he held to his face, saying that he would summon the other scientists or men of knowledge to see their experiment that night. He spoke into the instrument as though to different men, and let me hear voices from it answering him! Then said that the men who answered were leagues separated from him!
"I could not believe—and yet somehow I did believe! I was half-dazed with wonder and yet excited too. The white-bearded man, Rastin, saw that, and encouraged me. They then brought a small box with an opening and placed a black disc on the box, and set it turning in some way. A soman's voice came from the opening of the box, singing. I shuddered when they told me that the woman was one who had died years before. Could the dead speak thus?
Henri insists on returning to his own time:
"'You would not be afraid to return to your own time, Henri?' asked Rastin, and I shook my head.
"'I want to return to it,' I told them. 'I want to tell my people there what I have seen—what the future is that they must strive for.'
"'But if they should not believe you?' Thicourt asked.
"'Still I must go—must tell them,' I said.
Back in 1444 Henri Lothiere is burned as a sorcerer:
"Henri Lothiere, apothecary's assistant of Paris," he read, "is charged in this year of our Lord one thousand four hundred and forty-four with offending against God and the King by committing the crime of sorcery."
The prisoner spoke for the first time. "I am no sorcerer, sire."
[. . . .]
"There were many people gathered around the field, fearful, and they screamed and some fled when I appeared in the thunderclap. I went toward those who remained. My mind was full of the things I had seen and I wanted to tell them of these things. I wanted to tell them how in the future would be the marvels that my eyes had beheld, and of the freedon that I had seen those people of the future have. I wanted to tell them how they must work ever toward that future time of wonder.
"But they did not listen. Before I had spoken minutes to them they cried out on me as a sorcerer and a blasphemer, and seized me and brought me here to the Inquisition, to you, sire. And to you, sire, I have told the truth in all things. I know that in doing so I have set the seal on my own fate, and that only a sorcerer would ever tell such a tale, yet despite that I am glad. Glad that I have told one at least of this time of what I saw five centuries in the future. Glad that I saw! Glad that I saw the things that someday, sometime, must come to be—"
It was a week later that they burned Henri Lothiere.