Modder WickedHorseMan has released an interesting mod for Red Dead Redemption 2, which lets bullets penetrate objects. This RDR2 mod is totally a modification to the gameplay. Similarly, it might be fun to play the second or third game.
The modder said the bullets are now passing through objects. Therefore, the speed of penetration depends on the type of material, but mostly on wood.
You can download this mod from here.
Unfortunately, the modder didn’t provide an interactive video showing new bullet penetration effects. This is the image of a photograph of you that shows what you can expect from it.