Supercavitation technology has important application value in military and national defence fields because of its huge potential in drag reduction, while the cavitation around underwater moving objects may be affected by the surface properties of objects. In this paper, the supercavitation characteristics and hydrodynamics of a projectile with hydrophobic and hydrophilic surface coatings were experimentally studied using a high-speed camera. The supercavitation evolution, cavitation size, velocity change, drag force coefficient, and ballistic deflection of projectiles in different water depths are compared and analyzed. The results show that the length and diameter of the supercavity increase with the decrease in water depth. At the same water depth and cavitation number, the length and diameter of the supercavitation of the projectile with hydrophobic coating were greater than those of the projectile with hydrophilic coating, and the drag force coefficient of the hydrophobic projectile was obviously smaller than that of the hydrophilic projectile. Under the working conditions of 6.67D, 16.7D, and 33.3D, the drag force coefficient of the hydrophobic projectile could be reduced by about 20–40% compared with that of the hydrophilic projectile. The maximal reduction in drag force coefficient was up to 40% at σ = 0.34 under a water depth of 33.3D. The velocity attenuation of hydrophobic projectile was about 20% slower than that of hydrophilic projectile. In addition, the ballistic stability of hydrophobic coated projectiles was better than that of hydrophilic coated projectiles in the different water depths observed in the paper.