The old rule of thumb was 6 feet to safety. This was applied to being underwater from bullets, underground (shielding) from atomic radiation, and coincidentally, the depth of the average grave.
Bullets lose most of their velocity in 2-3 feet of water (rifles lose the highest percentage) but some bullets will retain enough speed to be able to injure you (to some degree) until around 6 feet depth.
High velocity, expanding type bullets lose the most in the shortest distance. At say 3 foot depth, you are safer from a .300 magnum than you are from a .32acp! (you aren't really fully safe from either until you get deeper)
I remember reading, back in the 60s (or maybe it was in the 70s,
) about a fishing trip Elmer made, off Florida. They went after tarpon, but didn't find any, and wound up shooting some sharks. Boat owner shot them with a .300 Weatherby, 60ish yds. Shark would roll over when hit, then roll back up and continue normal swimming. Elmer, using a 4" .44Mag with his handloads (hardcast SWC), aiming "a foot below and a foot ahead of the dorsal fin" shot some, and the sharks would roll over and that was it....