We use inelastic neutron scattering to measure the magnetic excitations in the underdoped superconductor La2-xSrxCuO4 (x=0.085, Tc=22 K) over energy and temperatures ranges 5 < E < 200 meV and 5 < T < 300 K respectively. At high temperature (T = 300 K), we observe strongly damped excitations with a characteristic energy scale of approximately 50 meV. As the temperature is lowered to T = 30 K, and we move into the pseudogap state, the magnetic excitations become highly structured in energy and momentum below about 60 meV. This change appears to be associated with the development of the pseudogap in the electronic excitations.