Generating stable cavity without droplets splatter is commonly required when process of a gas-jet penetrating into a liquid sheet is implemented in various industrial applications. In this study, experiments were carried out to investigate the cavity stability under different penetrating parameters, including different nozzle diameters, liquid sheet thicknesses, gas flow rates, and jet heights. When keeping other parameters fixed but moving the nozzle close to the liquid sheet surface, it was found that the cavity was frequently disturbed by the wall-jet and became unstable accompanied with droplets splatter at too low jet heights. Images of the cavities were captured by high speed video camera to study cavity performances, including its size, surface morphology, and droplets splatter. It was further found that violent surface waves were commonly generated by the strong wall-jet disturbance at low jet heights and droplets splatter was caused as long as Rayleigh instability happened due to higher frequency oscillation of the surface wave. Critical jet heights causing cavity stability transition were studied for different penetrating conditions, which were further expressed by a local modified Froude number as a normalized formulation. Curve fitting illustrating the conditions to generate stable penetrating cavities was given at last to provide guides for the jet controls in industry.