What weights? What makers? What game? Modern factory loads can be very reliable, many with premium bullets available. What do you mean when you say "blowing up"? What is "proper penetration" for your needs?
One obvious answer is to go heavier and "premium" construction, maybe monolithic. But to recommend any one of those would require more specifics about the proposed application. You need to give much more information about what specific bullets have "failed", what happened that made you call it a failure, and in what specific situations, to get advice about any specific bullets that will fix your issues.