We present the first calculation of direct photon production at next-to-next-to leading order (NNLO) accuracy in QCD. For this process, although the final state cuts mandate only the presence of a single electroweak boson, the underlying kinematics resembles that of a generic vector boson plus jet topology. In order to regulate the infrared singularities present at this order we use the N -jettiness slicing procedure, applied for the first time to a final state that at Born level includes colored partons but no required jet. We compare our predictions to ATLAS 8 TeV data and find that the inclusion of the NNLO terms in the perturbative expansion, supplemented by electroweak corrections, provides an excellent description of the data with greatly reduced theoretical uncertainties.