This is a very important question. We need the component to behave plastically and the shot to behave elastically. Then the component is simply dimpled by the shot particles and the particles themselves are not plastically deformed. Plastic deformation occurs when the yield strength is exceeded. The higher the hardness the higher is the yield strength. It follows that the shot must be harder than the component in order for the shot to behave elastically and the component to behave plastically.
Having decided that the shot must be harder than the component the next problem is to select appropriate shot. The harder the component the harder must be the shot. That is why manufacturers produce ‘high hardness’ grades of, for example, steel shot. There is no specified difference in hardness ( component versus shot) that has to be applied. It would be unreasonable to expect shot peeners to keep switching from one hardness grade of shot to another in order to handle components with different hardnesses. They just have to make sure that none of the components to be peened have a hardness greater than the shot currently being used. If several machines are available they might only have different shot sizes rather than different hardness grades. Extra high hardness shot would only need to be employed if the size of the order justified the costs involved (cleaning out previous shot, re-charging, new intensity determinations, etc.).