In Avengers: Infinity War when the Guardians find Thor, he is alive even when his spaceship was destroyed by the Power Stone. Later Gamora says:
It's like his muscles are made of Cotati metal fibers...
Assuming, that Mjolnir and Stormbreaker are made up of metals with a much higher atomic number than any found on Earth, and Thor can wield them, sure he is built different than humans and many other space beings. He even says in Infinity War:
You simply lack the strength to wield them. Your bodies will crumble as your minds collapse into the madness.
(Steve Rogers can wield both;Vision could wield Mjolnir, Thanos could wield Stormbreaker (to some extent, Groot too))
Since, Thor is anatomically built different, then sure he is bulletproof (at least to human weapons), right? And by extension, are all Asgardians bulletproof?
Note: I haven't watched Agents of Shield so don't know if they gave more details about Asgardian biology.
The part I find out-of-sync is, in the first Thor movie, when Odin casts him out, Thor becomes human like, Darcy was able to tase him, hospital staff was able to sedate him. Even he himself says:
This mortal form has grown weak
So how can Asgardian biology change if Thor was banished and stripped off his powers? Or, was it simply lack of foresight back then?