Tungsten heavy alloys are preferred materials for kinetic energy penetrators owing to the combination of high density, tensile strength, good impact strength and inert nature. The factors affecting shear band formation in the material and strategies to aid their early emergence by various alloy and process modifications to sustain a self-sharpened head during penetration are the main focus of this review article. Changes in the microstructural features such as tungsten grain size, dihedral angle and contiguity and mechanical properties by the addition of various alloying constituents and post-processing are critically discussed, along with high strain rate deformation behaviour analysis. This article also captures recent developments in the last decade and future prospects in the field of tungsten heavy alloys.