I may be wrong, but I think that may be more a function of spin rate, bullet weight, yaw, and other factors affecting flight characteristics than it does with velocity. If everything were still in balance at the higher velocity, then the projectile should also penetrate deeper. There was a lengthy thread about this very topic.

This may be overly simplistic and without some key elements, but here's how I look at it:

An arrow has high sectional density in relation to it's length. Shoot a tuned arrow into a backstop at 300fps and it will penetrate farther than a tuned arrow at 240fps. In this case, tuned means no flight wobble. If a bow is tuned for the same weight arrow at a lower speed and the draw weight is increased to increase arrow speed without other modifications, the arrow will wobble and not penetrate as far. Bullets are not arrows and backstops are not flesh, but the logic makes sense to me.

To me, it also makes sense that if the bullet weight, SD, spin rate, etc. were in tune, then higher velocities will carry the projectile deeper than lower velocities.

By this, I would say that a .458 Win Mag would penetrate farther than a .45-70 Govt, and a .458 Lott will penetrate farther than a .458 Win. Mag, and so on.