In a hadron collider environment identification of prompt photons originating in a hard partonic scattering process and rejection of non-prompt photons coming from hadronic jets or from beam related sources, is the first step for study of processes with photons in final state. Photons coming from decay of $\pi_0$'s produced inside a hadronic jet and photons produced in catastrophic bremsstrahlung by beam halo muons are two major sources of non-prompt photons. In this paper the potential of deep learning methods for separating the prompt photons from beam halo and $\pi^0$'s in the electromagnetic calorimeter of a collider detector is investigated, using an approximate description of the CMS detector. It is shown that, using only calorimetric information as images with a Convolutional Neural Network, beam halo (and $\pi^{0}$) can be separated from photon with 99.96\% (97.7\%) background rejection for 99.00\% (90.0\%) signal efficiency which is much better than traditionally employed variables.