The restriction of $p$ to any straight line is a polynomial in one variable that is bounded below, therefore is either constant or goes to $\infty$ in both directions. If there is a line $L$ on which $p$ is constant, then using convexity it is easy to see that $p$ must be constant on all lines parallel to $L$, and by taking a cross-section we reduce the dimension by $1$. So we can assume wlog there is no line on which $p$ is constant.
Now consider $A = \{x \in \mathbb R^n: p(x) < C\}$ where $C > p(0)$.
This is a convex set. The restriction of $p$ to any ray through $0$ is a nonconstant polynomial in one variable and bounded below, therefore goes to $+\infty$ in both directions. Thus $A$ contains no ray through $0$. For each $s$ in the unit sphere $\mathbb S^{n-1}$, there is some $t > 0$ such that
$p(ts) > C$ and by continuity this holds (with the same $t$) in some neighbourhood of $s$. Note that by convexity, $p(t' s) > C$ for all $t' > t$. Using compactness, we conclude that $A$ is bounded. And then the infimum of $p$ is the infimum of $p$ on the compact set $\overline{A}$, which is attained.
EDIT: As requested, I'll expand on "using compactness". For each $s \in \mathbb S^{n-1}$, there is $t > 0$ such that $p(ts) > C$. Thus the open sets $\{s \in \mathbb S^{n-1}: p(t s) > C\}$ for $t > 0$ form an open covering of $\mathbb S^{n-1}$. Because $\mathbb S^{n-1}$ is compact, this has a finite subcovering, i.e. $t_1, \ldots, t_k$ such that for every $s \in \mathbb S^{n-1}$, some $p(t_j s) > C$. But that says
$p(x) > C$ for all $x$ with $\|x\| \ge \max(t_1, \ldots, t_k)$, i.e. $\|x\| < \max(t_1, \ldots, t_k)$ for all $x \in A$.