A full amplitude analysis of $\Lambda_b^0 \to J/\psi p \pi^-$ decays is performed with a data sample acquired with the LHCb detector from 7 and 8 TeV $pp$ collisions, corresponding to an integrated luminosity of 3 fb$^{-1}$. A significantly better description of the data is achieved when, in addition to the previously observed nucleon excitations $N\to p\pi^-$, either the $P_c(4380)^+$ and $P_c(4450)^+\to J/\psi p$ states, previously observed in $\Lambda_b^0 \to J/\psi p K^-$ decays, or the $Z_c(4200)^-\to J/\psi \pi^-$ state, previously reported in $B^0 \to J/\psi K^+ \pi^-$ decays, or all three, are included in the amplitude models. The data support a model containing all three exotic states, with a significance of more than three standard deviations. Within uncertainties, the data are consistent with the $P_c(4380)^+$ and $P_c(4450)^+$ production rates expected from their previous observation taking account of Cabibbo suppression.