The grey-and-black jacket was worn by the late singer in the film, most memorably during the scene in which he rides through the woods with leading lady Apollonia, reported Contactmusic.
The jacket was said to be given to a make-up artist who worked with Prince on the film by the singer himself, the day after filming finished.
The make-up artist's sister is the consignor for the sale, according to Jeff Hare, a spokesman for Profiles in History.
"This is a signature piece of wardrobe worn from an iconic movie in his most famous role."
The auction will take place between June 29 and July 1.