At ambient conditions, the light alkali metals are free-electron-like crystals with a highly symmetric structure. However, they were found recently to exhibit unexpected complexity under pressure. It was predicted from theory--and later confirmed by experiment--that lithium and sodium undergo a sequence of symmetry-breaking transitions, driven by a Peierls mechanism, at high pressures. Measurements of the sodium melting curve have subsequently revealed an unprecedented (and still unexplained) pressure-induced drop in melting temperature from 1,000 K at 30 GPa down to room temperature at 120 GPa. Here we report results from ab initio calculations that explain the unusual melting behaviour in dense sodium. We show that molten sodium undergoes a series of pressure-induced structural and electronic transitions, analogous to those observed in solid sodium but commencing at much lower pressure in the presence of liquid disorder. As pressure is increased, liquid sodium initially evolves by assuming a more compact local structure. However, a transition to a lower-coordinated liquid takes place at a pressure of around 65 GPa, accompanied by a threefold drop in electrical conductivity. This transition is driven by the opening of a pseudogap, at the Fermi level, in the electronic density of states--an effect that has not hitherto been observed in a liquid metal. The lower-coordinated liquid emerges at high temperatures and above the stability region of a close-packed free-electron-like metal. We predict that similar exotic behaviour is possible in other materials as well.