We study proton-gold collisions at RHIC energy √ sNN = 200 GeV within the Parton-Hadron-String Dynamics (PHSD) off-shell transport approach, investigating the influence of the intense electromagnetic fields generated in these small systems. We show the space-time evolution of the magnetic and electric components, emphasizing the huge values of the latter one, in particular the electric field Ex along the impact parameter direction whose magnitude is comparable to the magnetic field By perpendicular to the reaction plane. We find a fair agreement of the charged particle pseudorapidity density of the high-multiplicity events with respect to the experimental result of the PHENIX Collaboration. Focusing on the most central collision, we show rapidity distributions and spectra as well as the flow coefficients v1 and v2 and we discuss the impact of the electromagnetic fields on identified particle observables. We compute the directed flow v1 of π + , π − , K + , K − for collisions at fixed impact parameter and predict that an electromagnetically-induced splitting in the v1 of positively and negatively charged particles is generated in the Au-going side of p+Au reaction mainly driven by the huge Ex component. We find that this effect is stronger for the strange mesons and increases for increasing impact parameter. Furthermore, we highlight the amount of directed flow generated in the deconfined phase, finding that it constitutes the main contribution in the central rapidity region, especially for kaons. Thus, we support the idea that the directed flow is a promising probe for the electromagnetic fields generated in relativistic nuclear collisions and show that in proton-induced reactions the electric component along the impact parameter axis is the primary origin of a charge-odd v1 of pions and kaons.