Shotguns will quite handily shoot through a wall. Take some 2x4 scraps and nail on dry wall so they are 16" apart like a real wall. Make another one and also place exterior siding on one side. Then back off 25 to 30 feet (large room size) and shoot the sections with a 12 gauge with a trap load. You will see a nice hole through all wall sections. the wall section without exterior siding will also have a nice 1' hole that was punched through one side by the plastic wad. I am sure the 20 gauge will do as well, so don't depend on a wall for protection from either shotgun or revolver.
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