To intercept higher-speed maneuvering target, interception modes are analyzed and head-on posture with maneuverable advantage of interceptor is determined to be the prerequisite. A differential game-based guidance law is proposed under the framework of model predictive control. Gradient-iteration algorithm subject to input constraints is implemented for on-line optimization with respect to a composite objective functional consisting of line-of-sight rate and fuel consumption. Algorithm’s effectiveness for obtaining saddle points of the game is derived on some preconditions. The numerical simulation results show the importance of choosing suitable cost weights and validate the performance of the guidance law. The accessible zone against higher-speed maneuvering penetrator involving varying initial conditions is computed by assuming the other vehicle moves optimally.