A guy i knew in the service in the 90s told me of a mishap his ship during a training exercise. I believe it was the Wainwright, if I'm not mistaken, she one of the Belknap Class Guided Missile Cruisers we had in service. She was stationed in Subic Bay in the Philippines at time. The exercise in question, where she had fire a target drone missile from one of it's RIM-2 Terrier Missile launcher so they could do target practice. Essential the idea was to have the drone fly in circle around the ship, this was so the crew could test fire a SM-2 and shoot it down.
Unfortunately, someone made snafu and made the circle to go around the ship whee bit small. So the drone ended up on intercept course for the ship. Apparently there was something was wrong with the Phalanx, so that was down. SO they used the Mark 42 5-inch/54-caliber gun to shoot thing down, which they succeeded. Good thing it was a dumb per-programmed drone!
Mishaps tend to be made classified, but it's been long enough since its ok talk about it. I wasn't there, so i got no way prove it didn't happen, but the guy i spoke to was fairly straight forward guy.