Way back over 1,000 years ago, British Pennies were made from gold. From about 1200 AD to the end of the 18th century, they were made from silver. Even now, all coins in the Maundy sets are still made from silver, including the Maundy Pennies.
Silver became far too expensive to be making low value coins from, so they were then made from copper from 1797.
During the reign of Queen Victoria, Pennies changed to bronze from 1860 until the last predecimal Penny was minted in 1967. Bronze is mostly copper, but the alloy of 95.5% copper, 3% tin and 1.5% zinc made them a lot more durable and subsequently a little cheaper to produce.
From decimalisation in 1971, Pennies were still made of bronze, but even that became too expensive, so from 1992, they were made from copper plated steel which makes them very cheap to make and very durable.