In this study, the performance of titanium alloys (TC21, TC1), nickel-titanium (Ni-Ti) alloy, and zirconium-niobium (Zr-Nb) alloy lined shaped charge impact and penetration into concrete targets are investigated experimentally. Shaped charge jet radiographs reveal that the resulting jets of titanium alloys and Ni-Ti alloy exhibit particulate, radially dispersed behaviors, whereas that of the Zr-Nb alloy is coherent. Cavity diameters, penetration depths and parameters of the impact craters generated by the jets were analyzed using the depth of penetration (DOP) experiment method. Data indicate that the particulated jet causes more extensive damage to the surface of the concrete targets compared to the coherent jet. The penetration depth decreases to some degree, but the cavity diameter increases significantly. Penetration efficiency varies with degree of dispersion of the particulated jet and, as such, is also sensitive to stand-off distance.