As an example of the skyrmion lattice, the structure of Mermin-Ho vortex lattice in superfluids He-3 is studied by self-consistent Eilenberger theory and by Bogoliubov-de Gennes theory. We identify how the intrinsic orbital angular momentum 1 of p-wave Cooper pairs contributes to spatial structures of the pair potential, current flow, and quasiparticle states. There are two types of vortices depending on the 1 direction relative to rotation. Only one of them has zero-energy bound states appearing even in coreless vortices due to intrinsic topological reasons.