The skin between my pinky toe and the toe next to it is itchy and slightly moist, as if there was pus. It's also peeling away. Why is that happening?

It could be athletes. Foot, if there was no injury or not caused by footwear. Try some OTC med like Cruex or others that will be on the same shelf. They are creams, sprays, & ointments to choose from.
Fungous. probable athletes foot betadine solution appl 3x per day wet to dry then athletes foot cream after dry up.