Systematic measurements of the magnetocaloric effect, heat capacity, and magnetic torque under a high magnetic field up to 35 T are performed in the spin density wave (SDW) phase of a quasi-one-dimensional organic conductor (TMTSF)2ClO4. In the SDW phase above 26 T, where the quantum Hall effect is broken, rapid oscillations (ROs) in these thermodynamic quantities are observed, which provides clear evidence of the density-of-state (DOS) oscillation near the Fermi level. The resistance is semiconducting and the heat capacity divided by temperature is extrapolated to zero at 0 K in the SDW phase, showing that all the energy bands are gapped, and there is no DOS at the Fermi level. The results show that the ROs are ascribed to the DOS oscillation of the quasiparticle excitation.