The behaviours of a variety of high-density materials are compared in ballistic penetration experiments. The deformation and failure modes of these materials, under this high pressure and high strain rate loading environment, are studied via metallographic examinations. Stable plastic flow, leading to the development of a large "mushroomed" head on the penetrator, was observed for certain high density materials, including pure tungsten, tungsten heavy alloys, and a uranium-6% niobium alloy. For two other families of uranium alloys, localisations quickly develop in the plastic flow and reduces the build-up of the mushroomed head on the penetrator, allowing these materials to penetrate more efficiency. The stability of the plastic flow of the penetrator alloy, therefore, is shown to be a key determinant of the penetration capabilities of a projectile.