Knowledge probing is crucial for understanding the knowledge transfer mechanism behind the pre-trained language models (PLMs). Despite the growing progress of probing knowledge for PLMs in the general domain, specialised areas such as the biomedical domain are vastly under-explored. To facilitate this, we release a well-curated biomedical knowledge probing benchmark, MedLAMA, constructed based on the Unified Medical Language System (UMLS) Metathesaurus. We test a wide spectrum of state-of-the-art PLMs and probing approaches on our benchmark, reaching at most 3% of acc@10. While highlighting various sources of domain-specific challenges that amount to this underwhelming performance, we illustrate that the underlying PLMs have a higher potential for probing tasks. To achieve this, we propose Contrastive-Probe, a novel self-supervised contrastive probing approach, that adjusts the underlying PLMs without using any probing data. While Contrastive-Probe pushes the acc@10 to 28%, the performance gap still remains notable. Our human expert evaluation suggests that the probing performance of our Contrastive-Probe is still under-estimated as UMLS still does not include the full spectrum of factual knowledge. We hope MedLAMA and Contrastive-Probe facilitate further developments of more suited probing techniques for this domain. Our code and dataset are publicly available at https://github.com/cambridgeltl/medlama.