penetrate into someone or something
to pierce into someone or something; to stick deep into someone or something. The lance penetrated into the knight, right through his armor. The bullet penetrated into the wall.
penetrate something with something
to pierce something with something. I could not even penetrate the steel door with a cold chisel. It was easy to penetrate the lid with a can opener.
penetrate through something
to pierce all the way through something. (Some people will view the through as redundant.) The bullet could not penetrate through the metal plating. It did not have enough force to penetrate through the steel.