Common loads for shotguns that are worthy of considering for defensive purposes will penetrate drywall easily.
Informal "test" below.
Box of Truth Rifles, Shotguns, and Walls
Excellent point, and the link was to a valid enough test. I should have said, “errant pellets aren’t AS likely to pierce walls as a stabilized, solid-nosed bullet”. Lots of qualifiers and exceptions for hollow points and such. and the shooter is legally and morally responsible for the trajectory of every pellet or bullet fired from her weapon.
I don’t advocate anything larger than #1 buck for home defense. I’m curious how many sheets of gypsum that would penetrate, but safe to assume at least two.