Use Prim's algorithm when you have a graph with lots of edges.
For a graph with V vertices E edges, Kruskal's algorithm runs in O(E log V) time and Prim's algorithm can run in O(E + V log V) amortized time, if you use a Fibonacci Heap.
Prim's algorithm is significantly faster in the limit when you've got a really dense graph with many more edges than vertices. Kruskal performs better in typical situations (sparse graphs) because it uses simpler data structures.
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