We present a search for the rare radiative decay W±→π±γ using data corresponding to an integrated luminosity of 4.3  fb−1 of proton-antiproton collisions at a center-of-mass energy of 1.96 TeV collected by the CDF experiment at Fermilab. As no statistically significant signal is observed, we set a 95%-confidence-level upper limit on the relative branching fraction Γ(W±→π±γ)/Γ(W±→e±ν) at 6.4×10−5, a factor of 10 improvement over the previous limit.