Given the significantly large deformation and high strain exhibited by explosively formed projectiles (EFP) in penetration, their penetration performance into multi-layer targets differs from that of ordinary bullets or rigid projectiles. Therefore, it is necessary to investigate the ballistic performance and the damage mechanism of target deformation when an EFP penetrates a multi-layer target. This study conducted high-velocity impact tests of EFPs on four types of multi-layer steel targets, analyzing the damage morphology and deformation characteristics of multi-layer steel targets subjected to EFP penetration from both macro and micro levels. To investigate the anti-penetration performance of more target combinations at different EFP velocities, an accurate symmetrical finite element model of EFP penetration into multi-layer targets was established using Autodyn 16.0 finite element software and the SPH-FEM algorithm based on the symmetrical characteristics of the EFP and target structure. The experimental and simulation results showed that for a three-layer composite target, when the thickness of the middle layer remained constant, using the target layers with a front–rear target thickness ratio of less than one was beneficial for enhancing the anti-penetration performance of the targets against EFPs; when the EFP velocity was low and the residual velocity for penetrating a single-layer target was no more than 200 m/s, the anti-penetration performance of the two-layer target was optimal. When the EFP velocity exceeded 1500 m/s, the single-layer target exhibited the best anti-penetration performance to the EFP, and the more layers, the smaller the ballistic resistance. When the number of layers was more than six, the ballistic resistance of the multi-layer targets gradually tended to remain constant.