This paper studies the effect of shock wave on turbine vane suction side film cooling using a conduction-free Pressure Sensitive Paint (PSP) technique. Tests were performed in a five-vane annular cascade with a blow-down flow loop facility. The exit Mach numbers are controlled to be 0.7, 1.1, and 1.3, from subsonic to transonic flow conditions. Two foreign gases N2 and CO2 are selected to study the effects of two coolant-to-mainstream density ratios, 1.0 and 1.5, on film cooling. Four averaged coolant blowing ratios in the range, 0.4 to 1.6 are investigated. The test vane features 3 rows of radial-angle cylindrical holes around the leading edge, and 2 rows of compound-angle shaped holes on the suction side. Results suggest that the PSP is an accurate technique capable of producing clear and detailed film cooling effectiveness contours at transonic flow conditions. At lower blowing ratio, film cooling effectiveness decreases with increasing exit Mach number. On the other hand, an opposite trend is observed at high blowing ratio. In transonic flow, the rapid rise in pressure caused by shock benefits film-cooling by deflecting the coolant jet toward the vane surface at higher blowing ratio. Results show that denser coolant performs better, typically at higher blowing ratio in transonic flow. Results also show that the optimum momentum flux ratio decreases with density ratio at subsonic condition. In transonic flow, however, the trend is reversed and the peak effectiveness values plateau over a long range of momentum flux ratio.