The present study reports a novel Nb1Zr2Ti1W2 high entropy alloy (HEA) exhibiting exceptional strength and energy release properties, thereby demonstrating its promising potential for utilization in extreme conditions such as penetration. The penetration of Nb1Zr2Ti1W2 HEA fragments into a semi-infinite high carbon steel target was investigated through an experiment utilizing a 14.5 mm ballistic gun, covering a wide range of impact velocities from 800 to 1600 m/s. The experimental data, encompassing DOP (the depth of penetration) and VOP (the volume of penetration) of HEA fragments at various impact velocities, were acquired. After conducting both macroscopic and microscopic analyses of the crater and residual fragments, we have determined that the penetration pattern of HEA fragments undergoes a transition from a "self-sharpening" to a "mushroom head" across a wide range of impact velocities. The findings indicate that the impact velocity, as well as the biphase structure of Nb1Zr2Ti1W2 HEA (BCC1 and BCC2), are crucial external and internal factors influencing the penetration process. The present study unveils this intriguing physicochemical phenomenon and investigates the correlation between microscopic structure and macroscopic penetration behavior.