We have fabricated epitaxial p-i-n diode structures, containing a single GaMnAs layer, by using molecular beam epitaxy. For vertical transport measurements, the samples were patterned into mesa structures by using standard photolithography. The low-temperature magnetoresistance shows a strong bias voltage dependence, including sign-changes, similar to those of p-n diodes. The anisotropic magnetoresistance seems to originate from inherent in-plane magnetic anisotropy and the spin-orbit interaction of (Ga,Mn)As. The enhanced magnetoresistance in p-i-n diodes shows that the performance of GaMnAs diodes can be improved by using interface manipulations.