There have been multiple studies that reached the same conclusion. A 220 gr Nosler Partition fired from a 30-06 or 300 WM out penetrated almost everything short of 375 magnum. That includes most 338 WM loads.
The depth of penetration was a tie between the 2 in several studies although it shows the slower 30-06 with a slight advantage here.
Here is a link, you'll have to scroll about 1/2 way through to get to the 30 calibers. This is a compilation of data from multiple sources over several years. Some of this is data from Finn Agaards work. I've seen some results of his testing in Africa in print, but don't have a link to it on the net.
http://www.rathcoombe.net/sci-tech/b...s/methods.html
While not exactly the same results the Alaska F&G study came to similar conclusions. Note that in their study they were primarily interested in bear defense. The 300 WBY mag out penetrated 30-06 by a small margin, but they ranked it lower based on greater recoil.
http://www.fs.fed.us/pnw/pubs/gtr152.pdf