Since the CP violation in the B system has been investigated up to now only through processes related to the B-B mixing, urgently required is a new way of study for the CP violation and establishing its origin in the B system independent of the mixing process. In this work, we explore the exclusive B-0 --> rho(0)gamma decay to obtain the time-dependent CP asymmetry in the b --> d decay process in the standard model and the supersymmetric model. We find that the complex RL and RR mass insertion to the squark sector in the minimal supersymmetric standard model can lead to a large CP asymmetry in B --> rho gamma decay through the gluino-squark diagrams, which is suppressed in the standard model and B --> rho gamma may be a new window to study the new physics in the future.