We study nonlocal variational problems in $L^p$, like those that appear in peridynamics. The functional object of our study is given by a double integral. We establish characterizations of weak lower semicontinuity of the functional in terms of nonlocal versions of either a convexity notion of the integrand or a Jensen inequality for Young measures. Existence results, obtained through the direct method of the calculus of variations, are also established. We cover different boundary conditions, for which the coercivity is obtained from nonlocal Poincare inequalities. Finally, we analyze the relaxation (that is, the computation of the lower semicontinuous envelope) for this problem when the lower semicontinuity fails. We state a general relaxation result in terms of Young measures and show, by means of two examples, the difficulty of having a relaxation in $L^p$ in an integral form. At the root of this difficulty lies the fact that, contrary to what happens for local functionals, nonpositive integrands may ...