I have a somewhat small pellet trap, especially for family members, so after the first hole in the wall I decided to build a large backstop to protect the wall (and anyone/thing on the other side).
For the target we have a break barrel pistol so it isn't TOO powerful, but still mashes the pellet. It's strong enough that it was bending the deflector in the trap so I dropped a lead brick on top of the deflector. Other things would work, I just happen to have a bunch of lead laying around.
I used a 2 foot square piece of 1/2" chipboard covered with 1/2" of drywall board. Chipboard is the "plywood" made of large wood shavings glued and pressed into a board. It is very tough material, a pellet will just bounce off of it.
The drywall board (plasterboard, wallboard, sheet rock, gyprock, gypsum board, or gypsum panel) is there to capture the pellet on rebound. So far none have escaped it.
As you can see, beverage cans make handy targets and they're free.