In order to analyze the influence of a water medium on the forming process and penetration performance of a shaped charge jet, a comparative study was carried out on an underwater shaped charge jet (USCJ) and a shaped charge jet (SCJ) in air. The virtual mass hypothesis is proposed to analyze the forming mechanism of USCJs. The arbitrary Lagrangian–Eulerian algorithm is adopted to carry out a series of simulation calculations considering the impact of standoff height and liner cone angle. The penetration test of the shaped charge jet in two media is carried out, and the experimental results verify the effectiveness of the theory and simulation. The differences of SCJ formation and penetration in air and water are analyzed. The results demonstrate that the USCJ exhibits a higher jet head velocity, higher cumulative kinetic energy, and a greater penetration ability than those of the jet in air. The depth of penetration (DOP) initially increases and subsequently decreases with an increase in the standoff height. The optimal standoff height of the USCJ is approximately 4–4.5 times greater than the charge diameter, whereas the SCJ in air is approximately 3.5–4 times greater than the charge diameter. Additionally, the DOP of the jet decreases at the optimal standoff height with an increase in the cone angle.