The idea used by user14972 in their answer can be used to find other examples:
$f(x)=(x^2+3)(x^3+2)$. How many zeroes the cubic factor has in $\Bbb F_p$ depends on which quadratic form of discriminant $D=-108=-3\cdot6^2$, if any, represents $p$; if 3 zeroes, $a^2+27b^2$; if no zeroes, $4a^2+2ab+7b^2$; if one zero, neither quadratic form. If that cubic factor has no zeroes, then $-108$ is a square $c^2$; $p>3$ so 6 has an inverse, and $(6^{-1}c)^2+3=0$.
Similarly, $f(x)=(x^2+3)(x^3+3)$, $D=-243=-3\cdot9^2$.
user14972's example, and the two above, use the characteristic cubic of quadratic forms whose discriminants have some value $D$ where $h(D)=3$, i.e. where quadratic forms of discriminant $D$ are in three classes. But it is not necessary to use such concepts of quadratic form theory.
If $p=3$ or $p=1\mod 6$, then $p$ has the form $a^2+3b^2$, so $0=(a^2+3b^2)b^{-2}=(ab^{-1})^2+3$. So, if $x^2+3$ has no zeroes in $\Bbb F_p$, then $p=2$ or $p=5\mod6$, so everything is a cube.[1] So we may take $f(x)=(x^2+3)(x^3+a)$ where $a$ is any integer except a cube (so that $f$ has no linear factor in $\Bbb Q$).
[Brandl][2] gives the example $f(x)=(x^2+x+1)(x^3-2)$. The following proof that $f$ has a zero in each $\Bbb F_p$ is adapted from [Brandl]. If $p\ne 1\mod 3$, then the order of the multiplicative group of $\Bbb F_p$ is not divisible by 3. Hence 2 is a cube modulo $p$.[1] If $p=1\mod 3$, then there exists a primitive cube root of unity $x$ modulo $p$. [This follows from Sylow's first theorem.]
This is obviously a root of the polynomial $x^2+x+1$. [This is because $0=x^3-1=(x-1)(x^2+x+1)$ but $x\ne 1$.]
[1] Proof. If $p=2$ or 3, $a^3=a$. If $p=6k+5$, then, by Fermat's little theorem, $a=a^p=a^{6k+5}$, so $a=r^3$ where $r=a^{4k+3}$. Alternatively, if any element of $\Bbb F_p$ were not a cube, then, by the pigeonhole principle, at least two unequal elements $a, b$ must have equal cubes. Then $0=a^3-b^3=(a-b)(a^2+ab+b^2)$; $a-b\ne 0$ so $a^2+ab+b^2=0$. The only element whose cube is 0 is 0, so $b\ne 0$, so $b$ has an inverse.
So $(a^2+ab+b^2)b^{-2}=0$ so $c^2+c+1=0$ where $c=ab^{-1}$. So $0=(c^2+c+1)(c-1)=c^3-1$ so $c^3=1$. $a\ne b$ so $c\ne 1$, so $c$'s order is 3, so $3\mid p-1$, contradiction.
[2] Rolf Brandl, Daniela Bubboloni and Ingrid Hupp. Polynomials with roots mod $p$ for all primes $p$. J. Group Theory 4 (2001), p.233--239.