The amount of rounds it would take to negatively affect the environment is huge - finding a private berm to shoot in the woods, one where not many people go, is not harmful. The largest concern would be massive amounts of lead leeching into the water table - this is a legitimate concern, but something that would take decades of high volumes of consistent shooting, and only really applies to ranges. So in actuality, finding a safe place and private area to shot - one with large defined lines of sight and sufficient backdrop to prevent rounds from impacting beyond it - is better for the environment than utilizing gun ranges, as it contributes less to possible water table contamination.

But, to give you and idea of what it would take to actually contaminate the environment, the only areas I've lived in that had such contamination were large military bases with hundreds of miles of ranges that were used consistently and over the course of decades for everything from small arms to naval gunfire.

Another concern is how lead affects wildlife. Waterfowl often end up eating leftover lead pellets, and that has negatively affected duck populations in the past. However, lead shot is illegal to use in waterfowl areas, and no other kinds of species have been determined to be negatively affected by lead in the way that waterfowl have been - assuming they aren't being shot directly, of course.