A new type of annular shaped charge was utilized to enhance penetration performance into underwater structures in this paper. Explosive Formed Projectile (EFP) which can be formed by a shaped charge with a spherical segment liner was proved having a stable flight at a large stand-off distance and causing a large penetration diameter into structures. Therefore, underwater tests of double hull subjected to shaped charges with annular and spherical segment liners were first conducted. Subsequently, the damage characteristics of two layers subjected to these two shaped charges associated with underwater explosion were compared and analysed. The first layer was first penetrated by the projectiles, which resulted in the initial hole. With the effect of the subsequent shock wave and explosive products the hole was enlarged and four big petals were formed around the hole. The maximum dimensions of the crevasse and the deflection caused by the annular projectile associated with underwater explosion were 2.6 and 1.3 times than those by EFP. As for the second layer, although the annular projectile partially penetrated into the shell, it caused a larger plastic deformation than EFP. The comparison results indicate that the proposed annular shaped charge caused more severe damage to the underwater double-hull than the traditional one.