Depends on many many many factors:
1. Most importantly, bullet construction. Steel/AP, FMJ lead, or a hunting bullet?
2. Is there anything blocking or protecting the engine? I.e. are you shooting an engine only removed from a vehicle, or through the side of the car and other stuff surrounding the engine?
3. Second most important, WHICH engine? Is it aluminum block or steel? What size, what style, what vehicle, how robust, etc.?
4. What ANGLE are you shooting from? Can make a huge difference.
5. Are you talking about piercing a cylinder wall, or just a thinner piece of steel encompassing the cooling channels?
So, there is no answer to the question, other than "sometimes yes, sometimes no", and "with steel/AP ammo, most likely, yes, and with other rounds, most likely, no."