Well, there's brick, and then there's brick.
Modern high-quality brick like Acme is high fired, and is very nearly a ceramic-- it actually rings if you strike it while it hangs from a string. But get you one of those old Chicago antique bricks or an old adobe brick, and hit it with something, and it'll go "thud." Well, the newer brick is a more stable building product, and has an excellent strength-to-weight ratio, and has much better insulating properties (except possibly for the adobe bricks, which can have straw in 'em), but they're mighty brittle, compared to those other lower-fired bricks. And brittle doesn't keep the bullets out. Brittleness is determined by the amount of grog (dried clay in the mix), sand, and heat applied to the brick. (I confess that I'm not a builder-- I hang out with ceramics sculptors, one of whom uses green brick as her medium of choice.)
Also to take into consideration is what kind of sheathing is laid behind the brick. Some can use 3/8" plywood. Some require 5/8" plywood. I've seen buildings where the sheathing was 3/4" CDX plywood, which is really strong and heavy stuff. Very common now for sheathing is that pressboard/fiberboard stuff. They claim it's as strong as plywood, but I'll tell you that I can drive a nail through that pressboard a lot easier than I can drive a nail through the same thickness of plywood, which is relevant to our ability to stop a bullet. Then there's the insulation (if any), and whether they put that new Tyvek stuff around the house. Oh, I know it's just a polymer paper layer, but you ever try to tear the stuff? It's amazingly strong. A bullet that's deformed itself by passing through a brick veneer is going to notice that Tyvek as it enters the sheathing. If you were lucky, the bullet
might hit one of the numerous little steel brick ties, which hold the brick veneer to the sheathing. It would be unlikely. These are just narrow corrogated steel (usually galvanized) strips of sheet metal, but they're better than the 1" of airspace between the brick and the sheathing for holding that bullet away, I guess.
Beyond that, there's some 2X4 wood studs in there that might or might be hit. They're edge-on to the direction of the shot, so they'll provide some decent cover. Unfortunately they're not more commonly encountered than every 16", and can be found farther apart.
Then there's whatever kind of insulation was inside the interior wall (fiberglass, blown-in stuff-- it's not going to do much), and then your interior wall, which for most of us is usually gypsum board (drywall), and doesn't do much to stop bullets.
There's an amazing variety of compositions in an exterior wall.
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And if the bullet hits the mortar, than you're dealing with the question of how rich the mortar was mixed in proportion to sand, and how heavy a hand was used in applying the mortar before the brick was set on top of it.
