As others have alluded to, there are a number of different scenarios that can be read in to the OP. Here's one...
Re: the United Kingdom
If this is a criminal act, and if the bullet can be recovered and if the police are investigating - the bullet will be seized as evidence and retained as police property.
Once any investigations, trials and appeals have concluded the police will either apply to the court for an Order of destruction or (if it is unique, notable or has a significant importance) an Order for it to be permanently retained by the police/army etc to be used in training, for display in a museum etc.
Even if found not guilty, it may not be returned to the shooter unless he makes a successful application to the court contesting the Order.
(NB this reply does not describe the process for every scenario involving seized property, but it is the norm for weapons etc that have inflicted injury.)