In order to find new kinds of EFP liner materials with high density, W alloys, Ni, Mo, U, and U alloy were selected to be tested. Both liner test and flyer plate test were carried out in experiment, with existing EFP liner materials being testified as reference. It turned out that among the selected materials only Ni was suitable for EFP liner material, other potential candidates fractured to different extent in experiment. The potential reasons of materials' fracturing under explosive loading were analyzed through different scales in fracture mechanics. Characteristics of a feasible candidate material for EFP liner were discussed through fracture toughness K-IC, impact toughness alpha(k), damage tolerance d(y), and microstructure mechanics analysis. Finally material selection criteria of EFP liner were presented. The research results are significant in the material selection of EFP liner especially within high density materials, and it can be important guidelines for the researchers to avoid the blindness in research investments and waste in experiments in EFP research field.