Best way to join / merge by range in pandas

Not sure that is more efficient, however you can use sql directly (from the module sqlite3 for instance) with pandas (inspired from this question) like:

conn = sqlite3.connect(":memory:") 
df2 = pd.DataFrame(np.random.randn(10, 5), columns=["col1", "col2", "col3", "col4", "col5"])
df1 = pd.DataFrame(np.random.randn(10, 5), columns=["col1", "col2", "col3", "col4", "col5"])
df1.to_sql("df1", conn, index=False)
df2.to_sql("df2", conn, index=False)
qry = "SELECT * FROM df1, df2 WHERE df1.col1 > 0 and df1.col1<0.5"
tt = pd.read_sql_query(qry,conn)

You can adapt the query as needed in your application

Setup
Consider the dataframes A and B

A = pd.DataFrame(dict(
        A_id=range(10),
        A_value=range(5, 105, 10)
    ))
B = pd.DataFrame(dict(
        B_id=range(5),
        B_low=[0, 30, 30, 46, 84],
        B_high=[10, 40, 50, 54, 84]
    ))

A

   A_id  A_value
0     0        5
1     1       15
2     2       25
3     3       35
4     4       45
5     5       55
6     6       65
7     7       75
8     8       85
9     9       95

B

   B_high  B_id  B_low
0      10     0      0
1      40     1     30
2      50     2     30
3      54     3     46
4      84     4     84

---

numpy
The ✌easiest✌ way is to use numpy broadcasting.
We look for every instance of A_value being greater than or equal to B_low while at the same time A_value is less than or equal to B_high.

a = A.A_value.values
bh = B.B_high.values
bl = B.B_low.values

i, j = np.where((a[:, None] >= bl) & (a[:, None] <= bh))

pd.concat([
    A.loc[i, :].reset_index(drop=True),
    B.loc[j, :].reset_index(drop=True)
], axis=1)

   A_id  A_value  B_high  B_id  B_low
0     0        5      10     0      0
1     3       35      40     1     30
2     3       35      50     2     30
3     4       45      50     2     30

---

To address the comments and give something akin to a left join, I appended the part of A that doesn't match.

pd.concat([
    A.loc[i, :].reset_index(drop=True),
    B.loc[j, :].reset_index(drop=True)
], axis=1).append(
    A[~np.in1d(np.arange(len(A)), np.unique(i))],
    ignore_index=True, sort=False
)

    A_id  A_value  B_id  B_low  B_high
0      0        5   0.0    0.0    10.0
1      3       35   1.0   30.0    40.0
2      3       35   2.0   30.0    50.0
3      4       45   2.0   30.0    50.0
4      1       15   NaN    NaN     NaN
5      2       25   NaN    NaN     NaN
6      5       55   NaN    NaN     NaN
7      6       65   NaN    NaN     NaN
8      7       75   NaN    NaN     NaN
9      8       85   NaN    NaN     NaN
10     9       95   NaN    NaN     NaN

I don't know how efficient it is, but someone wrote a wrapper that allows you to use SQL syntax with pandas objects. That's called pandasql. The documentation explicitly states that joins are supported. This might be at least easier to read since SQL syntax is very readable.