It depends. Used to be almost all ranges had an angled steel plate that the bullet smashed into and either the fragments or the whole bullet ended up in a trough area at the bottom of the plate. Two problems here: The noise of impact added to the general din of the gunfire, and airborne lead dust added to the health and ventilation issue.
More ranges now use a Grantrap, which is a 4 foot deep backstop of ground up rubber that catches the bullet. These setups don't care what kind of (non-pyro) ammo hits them. You can shoot .50 BMG AP and they'll trap it. The rubber granules are held in place by a big self-sealing rubber sheet. It needs to be patched occasionally and eventually replaced, but will tolerate an amazing number of hits before it starts "leaking".
JR