Naval gun guided projectile is an important direction of the development of naval ammunition, which can effectively enhance the capacity of firepower support and anti-missile. Penetration damage of naval gun guided projectile to typical anti-ship missile in proximity mode is researched in the paper. Damage of the two different damage elements (fragment and discrete rod) to warhead cabin of missile is simulated with ANSYS/LS-DYNA finite element analysis software and analyzed. Its useful to the study of the further model of vulnerability analysis of whole anti-ship missiles and offer theory reference to enhancing the damage effect of naval gun guided projectile.