A kind of composite projectile was devised by the author. The maximum axial stress in composite shell during penetration was calculated based on Forrestal's penetration theory. Several carbon fiber composite material laminate, cylindrical shells and composite projectiles samples were prepared. A series of axial compress tests at different strain rates were carried out on laminate and cylindrical shells. After that, two carbon fiber composite material projectiles have penetrated concrete targets at the speed of 298 and 432 m/s respectively. The thickness of concrete targets is 200mm, 350mm and their surface compression strength is 48 MPa. The experimental results indicate that the compressive strength of carbon fiber composite material enhanced effectively with strain rates added. The composite projectile can go through the concrete target easily. The designed carbon fiber composite material shell of projectile could suffer the compressive stress during penetration concrete at the speed of 400m/s without fiber segregation and breakage.