penetrate into (someone or something)
To pierce, enter into, and stop inside of someone or something. The bullet penetrated into my chest through the body armor, but it thankfully did not pierce my heart or lungs. All kinds of radio waves penetrate into us throughout the day, but none are known to be harmful.
penetrate through (someone or something)
To pierce and pass completely through someone or something. The bullet penetrated through my body armor, but thankfully only pierced the skin of my chest. I hate getting X-rays—I just feel like anything that can penetrate through you is probably not the safest thing in the world!
penetrate (something) with (something)
To use something in order to pierce something else. We'll have to penetrate the rock layer with dynamite. The sniper penetrated the armored window with a high-caliber, high-velocity rifle.