That’s a common misconception about some of the heavier magnums.
I’ve shot mule deer with a .250 Savage, .270 Winchester and .338 WM. Of the three of them, the .338 causes the least meat damage. The .338 can be pushing a 210 to 230gr bullet at 2900 down to 2700 fps. A .270 can be pushing a 130gr bullet at over 3100 fps.
The worst blood-shot deer I ever saw was hit with a .264 WM. Most of the front quarter where the bullet entered was pulped by a 120gr bullet - that was launched at over 3200 fps.
The .375 is typically pushing something like a 270 grain bullet at a modest velocity - like, oh, 2600 to 2700 fps.
From my observations, it is the velocity of a bullet that causes explosive terminal ballistics, not the bullet weight. The .375 (and similar “African” or “dangerous game” cartridges) don’t launch light bullets at 3,000+ fps velocities. They launch heavy bullets, sometimes non-deforming solid bullets, at “normal” smokeless rifle powder velocities (2200 to 2700 fps).