Abstract: Aiming at the problems of limited damage area and insufficient dynamic response of traditional metal jets when penetrating concrete targets, this study proposes for the first time a novel double-layer energetic composite liner structure composed of high-entropy alloy/Al/PTFE. By adopting vacuum arc melting, powder pressing and sintering processes, a hemispherical composite liner with a truncated inner lining was successfully prepared. Through a combination of experimental and numerical simulation methods, the study systematically investigates the liner’s formation mechanism, penetration characteristics, and damage efficiency. The experimental results show that, compared with the single-layer high-entropy alloy liner, this composite structure can significantly enhance the fragmentation and crack propagation capabilities inside concrete, and effectively integrates the excellent mechanical properties of high-entropy alloy with the high energy release characteristics of Al/PTFE. The numerical simulation results indicate that the inner lining exerts a “cladding” effect on the high-entropy alloy jet, which inhibits radial divergence and improves the cohesion of the jet’s middle section; however, its multiple collision-following-separation behaviors also delay the dynamic equilibrium of the system. Furthermore, the study establishes a zonal formation theoretical model for this composite liner, which is used to predict the length and diameter of fully formed jets. It also analyzes the influence laws of the inner lining’s thickness and height on jet formation, and determines the optimal parameters as follows: thickness of 3.5mm and height of 12mm. These parameters can achieve the optimal balance among jet cohesion, length, and damage power. This study provides a theoretical basis and experimental support for the design and optimization of new-type energetic composite liners.