We study the single transverse spin asymmetry of prompt photon production in high energy proton-proton scattering. We include the contributions from both the direct and fragmentation photons. While the asymmetry for direct photon production receives only the Sivers type of contribution, the asymmetry for fragmentation photons receives both the Sivers and Collins types of contributions. We make a model calculation for quark-to-photon Collins function, which is then used to estimate the Collins asymmetry for fragmentation photons. We find that the Collins asymmetry for fragmentation photons is very small, thus the single transverse spin asymmetry of prompt photon production is mainly coming from the Sivers asymmetry in direct and fragmentation photons. We make predictions for the prompt photon spin asymmetry at RHIC energy, and emphasize the importance of such a measurement.