Suppose $p$ is an odd prime and $a\in \mathbb Z_p$ with $a\equiv 1 \mod p^2 $. Then $x^p=a$ is solvable over $\mathbb Z_p$.
I want to prove $x^p\equiv a\mod p^v$ is solvable for arbitrary $v\geqslant 1$. It's easy when $v\leqslant 2$. But I don't know how to proceed it.
I think you probably have to use induction somehow to prove the existence of a solution, which is essentially what is used to prove Hensel's Lemma.
Suppose that $a=1+p^2k$, for some $k\in\mathbb{Z}_p$, and also that $x=x_0+py$, where $x_0\in \{0,1,\ldots, p-1\}$ and $y\in \mathbb{Z}_p$. If $x^p=a$, then $(x_0+py)^p=1+p^2y$, that is $$ x_0^p + {p \choose 1} (py)x_0^{p-1} + {p \choose 2} (py)^2x_0^{p-2} + \cdots + {p \choose p} (py)^p = 1+p^2k.$$ So $x_0=1$, and $$ {p \choose 1} py + {p \choose 2} (py)^2 + \cdots + {p \choose p} (py)^p = p^2k.$$ Dividing both sides by $p^2$, we get $$ y+ {p \choose 2} y^2+ \cdots + {p \choose p} p^{p-2}y^p = k. \tag{1}$$ Since $p$ is odd, for every integer $m$ satisfying $2\leq m\leq p-1$, ${ p\choose m}$ is divisible by $p$. This is because ${p \choose m}=\frac{p!}{m!(p-m)!}$ is an integer and the denominator is not divisible by $p$ but the numerator is. So if $p$ is odd, then Equation $(1)$ becomes $\bar{y}=\bar{k}$ in the residue field (if $p=2$, then we would get $\bar{y}+\bar{y}^2=\bar{k}$ which might not have a solution, e.g. $\bar{k}=\bar{1}$). Clearly now one can apply Hensel's Lemma (or the idea of its proof) to $(1)$ to show the existence of $y\in \mathbb{Z}_p$, whence the existence of $x\in \mathbb{Z}_p$.