Electromagnetically induced transparency (EIT) is investigated in a system of cold, interacting cesium Rydberg atoms. The utilized cesium levels 6S1/2, 6P3/2 and nD5/2 constitute a cascade three-level system, in which a coupling laser drives the Rydberg transition, and a probe laser detects the EIT signal on the 6S1/2 to 6P3/2 transition. Rydberg EIT spectra are found to depend on the strong interaction between the Rydberg atoms. Diminished EIT transparency is obtained when the Rabi frequency of the probe laser is increased, whereas the corresponding linewidth remains unchanged. To model the system with a three-level Lindblad equation, we introduce a Rydberg-level dephasing rate γ3 = κ × (ρ33/Ωp)2, with a value κ that depends on the ground-state atom density and the Rydberg level. The simulation results are largely consistent with the measurements. The experiments, in which the principal quantum number is varied between 30 and 43, demonstrate that the EIT reduction observed at large Ωp is due to the strong interactions between the Rydberg atoms. [ABSTRACT FROM AUTHOR]