If you thrust a sword into someone's body, then it will pierce their skin and penetrate into their flesh. Therefore: - thrust is the motion of the sword before it enters the person's body - pierce is the process where it goes through the top layer of skin - penetrate is the movement of the sword deeper into the flesh (penetrate can also be through the top layer of skin too)

Those words are mostly interchangeable, meaning to go right through, especially with something sharp. However, there are some cases where one word is preferable to the other. The best way to learn them is to learn their collocations, the way in which some words are often used together. You can always hear them say, "The girl pierced her ears." For 'thrust' you'd say, "He thrust at me with his sword." You can always use 'penetrate' describing a man putting his penis into the vagina of another person during sex. But of course, there are numerous other examples with those words.