Can a bullet go through steel?

Yes, and no.

There are certain bullets that are designed with extreme piercing in mind.

Such bullets are important to the military.

Most bullets, however, are not strong enough to pierce steel.

It also depends on the type of steel involved. A 20 foot thick piece of steel could assuredly not be pierced by ANY bullet that is produced today.

But a baking sheet thickness of steel could be pierced by steel.

About 2 inches of steel can stop a bullet for most bullets :)

If you're considering using a piece of steel to wear to get shot in-

Just say no to stupid ;)