In order to comprehend the penetration behavior and energy release effect of Nb17Zr33Ti17W33 high-entropy alloys (HEAs), ballistic impact tests were conducted by propelling energy-containing fragments of Nb17Zr33Ti17W33 onto 921A steel plates. In the experiments, the reactive material fragments impacted 3.76-, 5.02-, 7.58-, and 9.69-mm-thick steel plates at velocities ranging from 400 m/s to 1000 m/s. The findings indicate that violent deflagration occurred when energetic fragments penetrated the steel target, resulting in noticeable firelight both in front of and behind the target. The damage patterns observed in the 3.76-mm steel plate exhibited distinct petal shapes, while those observed in the 5.02-, 7.58-, and 9.69-mm-thick steel plates displayed characteristic perforations. The ballistic limit velocities, ranging from 431.2 to 838.5 m/s, were determined based on experimental findings. Further, the present study presents a semi-empirical model for predicting the ballistic limit velocities of Nb17Zr33Ti17W33 energetic fragments penetrating a steel target, and the calculated theoretical values demonstrate exceptional agreement with the experimental results, thereby substantiating the reliability of the proposed model. The experimental results demonstrate that the perforation diameter of Nb17Zr33Ti17W33 reactive fragments on the steel plate exceeds that of DT300 steel fragments by 10–15%. A theoretical analysis has been conducted to compare the penetration capability of Nb17Zr33Ti17W33 fragments with that of conventional steel fragments, and it has been found that there is a critical threshold: the superior penetration ability of energetic fragments gradually becomes prominent only beyond the critical value.