Pictor A is a nearby Fanaroff-Riley class II (FR II) radio galaxy with a bright hot spot, the western hot spot. Observation of high polarization in the optical emission of the hot spot indicates that the optical emission could be synchrotron radiation of relativistic electrons in the hot spot. These electrons may be able to produce high-energy γ-ray photons through inverse Compton scattering. We use single-zone and multizone synchrotron + synchrotron self-Compton models to fit the observed spectral energy distribution (SED) from the radio to the X-ray band of the hot spot. Our results show that in the case of a much weaker magnetic field strength than the equipartition magnetic field, both the single-zone and multizone models can fit the SED, but the multizone model significantly improves the fit. The two models predict the hot spot as a GeV-TeV source, which might be marginally detectable with Fermi/LAT and H.E.S.S. The inverse Compton scattering of cosmic microwave background is also considered, but its contribution to GeV-TeV emission is negligible. Note that under the equipartition condition, the SED can also be fitted with the multizone model, but the predicted flux at >10²² Hz is too weak to be detectable. The detection of TeV γ-rays from this FR II radio galaxy, if confirmed, would establish a new subclass of extragalactic sources in this energy regime since most of the active galactic nuclei detected to date at TeV energies are high-energy-peaked BL Lac objects.