I don't see the simple answer plainly stated so I will state it here. For $p=2$, the only term in the sum is $1^n$ which is identified in a previous answer as $\equiv 1 \bmod 2$, but for consistency with the larger scheme of things, might better be stated as $\equiv -1 \bmod 2$
For odd $p$ and odd $n$, there are an even number (i.e., $p-1$) of addends, and the sum may be arranged as $1^n+(-1)^n+2^n+(-2)^n+\dots \equiv 0 \bmod p$
If $n$ is even, and if $(p-1)\mid n$, then every addend is a $(p-1)$ power of an integer, so every addend is $\equiv 1 \bmod p$ and the $(p-1)$ addends sum to $(p-1)\equiv -1 \bmod p$
If $n$ is even, and $p\equiv 1 \bmod 4$, and if $(p-1)\not \mid n$, then since quadratic residues in this case come in pairs $a, (p-a)$, the sum is $\equiv 0 \mod p$
If $n$ is even, and $p\equiv 3 \bmod 4$, and if $(p-1)\not \mid n$, I am without a proof, but empirically for several small primes, the sum is $\equiv 0 \mod p$
Overall, if $(p-1)\mid n$, the sum $\equiv -1 \bmod p$; otherwise, the sum $\equiv 0 \bmod p$