We demonstrate the existence of a charge-density-wave (CDW) associated with an incommensurate periodic lattice distortion on Ni₂MnGa surface in the ferromagnetic state. Our temperature-dependent photoemission spectra provide compelling evidence of a pseudogap at the Fermi level for T_CDW ⩽ 270 K that appears at the onset of the premartensite phase and persists in the martensite phase. While the width of the pseudogap is about 25 meV, a spectral weight transfer is observed over a much wider energy range that is associated with the CDW.