To study the influence of different liner structures and materials (copper, steel, and tungsten) on the forming characteristics of multiple explosively formed projectile (MEFP) with integrated liner and shell designs, three types of liners with different structures were designed. LS-DYNA was used for numerical simulation, and the results show that the thickness change at the center of the liner has no obvious influence on the shape of the explosively formed projectile (EFP). However, the curvature radius of the liner has a significant influence on the shape of the EFP. When the liner material is copper and the curvature radius of the liner is greater than 8 mm, the EFP shape approximates an ellipsoidal or hemispherical shape and the EFP forming speed is between 1900 m/s and 2400 m/s. When the material of the liner is steel or tungsten and the curvature radius of the liner is thicker than 8 mm, the liner is not able to form projectiles in the shape of a sphere, ellipsoid, or long rod. By comparing the forming speed from 1#EFP to 4#EFP, it can be said that MEFP with integrated liner and shell design displays a certain pressurization effect. Research results show that, for small-caliber MEFP warheads, subject to the size of the warhead, when the liner is steel or tungsten, the detonation energy generated by the limited charge does not result in the liner forming an effective EFP. However, when the liner material is selected as copper, the EFP forming shape and speed are more appropriate.