In anticipation of a "lead free zone" hunt, I've made and tested several steel bullets and shotgun slugs (so I could make my own projectiles - like the cast lead bullets I use now).
IME steel's penetration on "soft" (not metallic) materials is very similar to hard cast, heat treated, FN lead bullets. IMHO this is due to 2 reasons:
1. Steel has only 69% the density of lead, so bullets are light for caliber and can't be made longer and heavier without losing stability.
2. Blackpowder MLs can't produce the kind of speeds necessary to take advantage of steels superior mechanical properties.
These were not "scientific" tests - just straight from the lathe to a sabot or shot cup loaded in a ML - and used on materials like softwood, newsprint, water jugs etc.
Note: be extremely cautious about shooting steel projectiles at hard metal/rock objects. Steel doesn't deform as much at ordinary smokeless velocities, and practically not at all down around BP MVs. In fact, at BP speeds, steel can ricochet or bounce back off hard targets.