It all comes down to
powder capacity,
sectional density and
bullet construction.
With enough of each, any load will penetrate, starting from the 1903 6.5x54 Mannlicher Schoenauer, a perfect example that these three characteristics are interrelated and independent of caliber...
A modern .458 Win (not even a Lott) load where limited powder capacity is used to its fullest potential by modern propellant with a modern solid generally achieves pass-through on an elephant brain shot...
Conversely, early .458 Win loads where limited powder capacity was compromised by Olin spherical powder that agglomerated under tropical heat and failed to fully ignite, combined with bullets of earlier imperfect designs, did fail in the field often enough for the .458 Win saga to be born. It has been long resolved but it is still alive and ongoing...
Another classic example is the 10.75 x 68 Mauser that generally gained a very poor reputation for penetration due to the lack of sectional density (and the poor design) of its bullets. It worked apparently well enough for many folks who took lung shots on elephants, but those who tried to use it on frontal elephant brain shots were apparently taking a risky gamble.
Modern propellants and modern bullets have also changed entirely the performance of this cartridge...
I am not aware of any modern load for any modern DG caliber (.375, .416, .458, .470, .500, .505, etc.) that has a penetration issue. This of course excludes large caliber commercial loads that are NOT dangerous game loads (e.g. .375 Winchester, .444 Marlin; .45/70, etc.) although custom loads and custom throat rifles can allow them to shoot bullets with acceptable sectional density that will penetrate; which is the same hand loading fix that
Major Khan mentions for the early .458 Win issues...
And of course, any Soft will fail to do the job of a Solid, so common sense applies... Even a Swift A Frame or a Barnes TSX is a bad idea to perforate lengthwise, starting from the rear, a Buff, Hippo, Rhino, Elephant, or big cat of either African or Asian persuasion...