Looks like he may have injured his nail. Does he climb the screen of his cage? Could it have been cut on something sharp? Is it truly between the toes or on one toe particularly?
I would keep an eye on it for any swelling or oozing. If it gets worse it could be infected and a vet visit will be needed.
In the meantime, you can apply some painkiller free neosporin, just a little bit, to the area. Like I said, keep an eye on it for any changes. Most of the time, these will heal.