We investigate pseudogap phenomena in an ultracold Fermi gas with a p-wave tunable pairing interaction. Including p-wave pairing fluctuations within a strong-coupling T-matrix theory, we calculate the single-particle density of states (DOS) above the superfluid transition temperature Tc. Starting from the weak-coupling regime, we show that, at first, a dip structure gradually appears to become remarkable in DOS with increasing the strength of the p-wave pairing interaction at Tc. However, this pseudogap structure again becomes less remarkable to eventually disappear, as one passes through the intermediate coupling regime to enter the strong-coupling region. This non-monotonic interaction dependence of the pseudogap is quite different from the s-wave case, where the pseudogap size simply increases with increasing a s-wave interaction strength. This difference is found to originate from the momentum dependence of the p-wave interaction. We also determine the pseudogap temperature below which the dip structure in DOS appears and identify the pseudogap regime in the phase diagram of a Fermi gas with respect to the temperature and p-wave interaction strength.