Photoelectric effect supports the quantum nature of light because 

According to wave theory ,photo electric emission should take place at any wavelength . But practically photo emission takes place even when intensity is low and wavelength of incident light is less than a certain minimum wavelength .

Absence of any time lag between the impingement of incident photons and emission of photoelectrons supports the quantum nature of light .

According to wave theory , maximum kinetic energy should depend on the intensity of incident light , but practically maximum kinetic energy is independent of intensity of incident light , it depends only on the frequency of incident light .