But yes, they use kinetic energy in the form of a depleted uranium rod rather than chemical energy as in shaped charge rounds like the HEAT
The US training rounds are actually hardened steel, if memory serves (easier on the backstops/beaten areas.
Allegedly, the US has non DU rounds in inventory. That gets to the hazy edge of classification.
DU (depleted Uranium) is an alloy of U-238 after it has been processed to deplete it of 90-95% of its U-235. Its primary virtue is a density significantly higher than lead while having a relatively high material strength. In military use, it's also pyrophoric, in that shavings, splinters, and the like which are hot enough to cause combustion.
KEP is a "school" term for all non-explosive penetration rounds. It covers a large number of exotic things, like EFP. Explosively-formed Projectiles are very similar to a HEAT round, but, instead of a thin inner cone, they use a thick one, which deforms into an aerodynamic solid projectile. EFP are often used in anti-tank mines and rockets.
HEAT is also not the only explosive round. There is also HESH. Which is (inelegantly) High Explosive Smash-Head. There, a ductile explosive is fired (generally at lower velocity) at a target. The round is base-fused with a delay. The explosive mix deforms in a big "splat" on the target, and then is detonated. The inside face of the armor then delaminates and spalls about at high velocity. Spaced armor will protect against this, but only where you can "afford" to install spaced armor on an AFV. The inner armor layer also has to withstand high velocity impacts from the other armor face. HESH is not affected by rifling, unlike HEAT rounds.