Distributions from an annuity are not treated as capital gains or losses. The taxable amount of any distribution from an annuity is taxed as ordinary income.
If this is the annuity held in the Roth IRA that you asked about in your separate question, see the answer to your other question:
https://ttlc.intuit.com/community/retirement/discussion/are-the-death-benefits-from-a-tax-deferred-a...
If you are asking about a different, nonqualified annuity, regular periodic distributions are a combination of taxable gain and nontaxable investment in the contract. On the other hand, nonperiodic distributions come first from taxable gains. Only after all of the value beyond the investment in the contract has been distributed do nonperiodic distributions come from the nontaxable investment in the contract.