Tungsten-fiber/Zr-based metallic glass (Zr41.25Ti13.75Cu12.5Ni10Be22.5) matrix composite (hereinafter referred to as WF/Zr-MG composite) is considered a potential new generation of projectile material, while the density of WF/Zr-MG composite is usually around 16.5 g/cm3 and it is difficult to exceed 17.0 g/cm3. To understand the penetration performance of the composite material, a penetration test was performed on high-density WF/Zr-MG composite with a density of 17.1 g/cm3. The penetration depth, the diameter of the crater, morphology, and microstructure have been studied in a residual high-density WF/Zr-MG composite penetrator. A total of 8 penetration tests were performed by firing the projectiles into 603 steel targets based on the 30 mm ballistic gun, which included five high-density WF/Zr-MG composite projectiles and three 93W projectiles. Then, the target was cut through the crater using a wire cutting machine into a sample with 80 mm × 40 mm × 20 mm, which was polished by different types of sandpaper. The microstructures were characterized and analyzed by SEM and TEM technology. According to this study, high-density WF/Zr-MG composite penetrators perforated the target with a thickness of 69.7 mm on average, which is about 19.8% better than 93W alloy (58.2 mm) when the impact velocity is 1400 ± 20 m/s. Meanwhile, the high-density WF/Zr-MG composites exhibited “self-sharpening” behavior in the penetration process. Moreover, the higher penetrating power of high-density WF/Zr-MG composite is attributed to its higher dynamic compressive strength and “self⁃sharpening” behavior during penetration.