Direct photons have been measured in sqrt(s_NN)=200 GeV d+Au collisions at midrapidity. A wide p_T range is covered by measurements of nearly-real virtual photons (1<p_T<6 GeV/c) and real photons (5<p_T<16 GeV/c). The invariant yield of the direct photons in d+Au collisions over the scaled p+p cross section is consistent with unity. Theoretical calculations assuming standard cold nuclear matter effects describe the data well for the entire p_T range. This indicates that the large enhancement of direct photons observed in Au+Au collisions for 1.0<p_T<2.5 GeV/c is due to a source other than the initial-state nuclear effects.