The development of new warhead structures is an important means to enhance the destructive ability of projectiles. Compared with the traditional projectiles, the shaped charge warhead has a better destructive effect. Based on the traditional optimization method, a multi‐objective optimization method based on an approximate model is used for the structural design of linear explosive forming projectile (LEFP). In this paper, four different methods are applied to optimize the structure of LEFP. Numerical simulations of penetration into steel target are carried out for the optimization results, and the reliability of the numerical results are verified by experiments. The results indicate that: 1) the optimization method can improve the molding effect and penetration ability of LEFP reliably; 2) the combined optimization method has obvious advantages in promoting the performance of LEFP over the single one.