Abstract: In order to investigate the deformation behavior and penetration performance of WFeNiMo high-entropy alloy under different strain rates, the static mechanical properties of the high-entropy alloy was tested by universal material testing machine and the dynamic mechanical properties of the high-entropy alloy was tested by the SHPB (split Hopkinson pressure bar). The micro mechanism of deformation characteristics of the alloy under different strain rates was also discussed. Based on the ballistic gun test platform, the fragments penetration performance of the high-entropy alloy and the typical tungsten alloy (93W-4.9Ni-2.1Fe, wt%) to the finite thickness steel target was studied. The relationship between the penetration process of the two kinds of alloy fragments and the target damage characteristics, the energy consumption of penetration and the impact velocity was analyzed. The results show that the yield strength and strain rate of the high-entropy alloy and tungsten alloy present a positively correlation. The yield strength of the high-entropy alloy is higher than the tungsten alloy under the same strain rate. With the increase of strain rate of deformation, the high-entropy alloy develops from the brittle fracture, quasi-cleavage with the mixing of tough and brittle characters to the fracture deformation mode with adhesive characteristics. The high-entropy alloy has a strong local adiabatic deformation ability and high shear sensitivity when the fragments penetrate into the thin steel targets. The energy consumption of the high-entropy alloy fragments penetrating into the target is lower than the tungsten alloy fragments under the same impact velocity. The high--entropy alloy has excellent mechanical properties and superior performance in the penetration ability. In addition to the traditional shear plug effect, there is a certain energy release characteristic when the thin target is impacted at high speed by the high-entropy alloy fragments and it has a good application prospect in the field of the preformed fragments.