A new concept of tungsten heavy alloy composite was suggested and manufactured in this study for the kinetic energy penetrator. The composite heavy alloy was composed of two parts, the center was molybdenum added heavy alloy compositions which were designed to promote the self-sharpening effect and outside was conventional heavy alloy in order to sustain the severe stress condition in the muzzle during the firing. The center part showed an intergranular and brittle mode at tungsten/tungsten interfaces by which self-sharpening effect could be activated. On the other hand, that of outside showed conventional ductile fracture mode under high strain rate condition. From the sub-scale penetration test, the depth of penetration in heavy alloy composites showed greater values than those of conventional tungsten heavy alloys. It is suggested that the heavy alloy composite could be considered as one of the future penetrator materials.