Energy deposition in spallation target induced by energetic protons is the foundation and the premise of the spallation target research. In this paper, several intra-nuclear cascade models including BERTINI, ISABEL, CEM2K and INCL4 contained in MCNPX package, together with FLUKA and PHITS Monte Carlo codes are used to calculate the energy deposition in lead (Pb) and tungsten (W) spallation target impinged by 800, 1000, and 1200 MeV protons. The contributions of different particles to the total energy deposition in the Pb target are obtained and compared with each other as well. The energy deposition distribution caused by 250 MeV protons in the W target is measured with thermoluminescence detectors (TLDs). The results indicate that the calculations from the MCNPX accord with experimental data, verifying that the Monte Carlo code has a high reliability for energy deposition simulation.