Bigger/faster the bullet the easier it was for water to stop.
For bullets that’s probably true because of their light weight, but heavy shells from the big naval guns of battleships (12" to 18" caliber) actually carried a long way through water and sometimes hit and damaged target ships below the waterline. The Japanese in particular actually designed some of their shells to maximize their underwater performance.
Well, typical muzzle velocities for these shells were in the neighborhood of 2500 feet per second, and although they slowed down some out to typical combat ranges they were still going pretty damn fast when they hit. I don’t think the Mythbusters ever had the kind of budget you’d need to test this one out.