There's no such thing as bullet proof, only variations on bullet resistance.
The answer to your question comes in the form of a poem.
I shoot the Hippopotamus
with bullets made of platinum,
Because if I use leaden ones
his hide is sure to flatten 'em.
Conveniently the author of this lived at the time in question.
On a more serious note, you'll also want to look at the elephant gun and the fairly obvious reasons for its existence.
Evolution works much more slowly than weapon design, so while early weapons might not be powerful enough to punch through the hide of a large animal, the animal is not going to be able to evolve fast enough to counter the speed at which weapons are designed. In other words, no. An animal may initially be bullet proof, but it's not going to remain that way for long.