A new tungsten heavy alloy with hybrid structure was manufactured for the kinetic energy penetrator. The tungsten heavy alloy is composed of two parts: core region is molybdenum added heavy alloy to promote the self-sharpening; outer part encompassing the core is conventional heavy alloy to sustain severe load in a muzzle during firing. From ballistic test, it was found that the penetration performance of the hybrid structure tungsten heavy alloy is higher than that of conventional heavy alloy. This heavy alloy is thought to be very useful for the penetrator in the near future.