Fairly thick mild steel is ok for .22 LR etc, but it starts to be a problem in center fire calibers, even pistol calibers.

3/8" AR500 steel works well for handgun calibers and targets made from it are not all that expensive when purchased in unpainted form.

Face hardened AR500 steel is far preferable as it will resist cupping over time. Mild steel will also start to take on a curve over time and become slightly bowl shaped rather than flat. Both those traits increase the risk of a round coming back toward the shooter.

If you start to see serious craters in the target, stop using it, as those do focus the spall back toward the shooter with a subsequent hit.

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In general it helps to mount the target at an angle so that the bullets that strike it and the spall that results as they disintegrate are deflected downward rather than straight back. 15 to 20 degrees is enough.

Also be sure to wear eye protection as even with properly angled targets you'll still get fragments coming back. I've been hit with bits of copper jackets while standing 10 yards behind a firing line and 20 yards behind the target. None of them have every drawn blood, but I would not want to be struck in the eye with one.