The speed of sound in water is nearly five times as fast as in air, about 1500 m/s. An object moving that fast through water would experience a dynamic pressure of about 1.1 GPa, compared to about 70 kPa for something moving at the speed of sound through sea-level air - in other words, not really possible outside of extreme scenarios like meteorite impacts.

But yes, there would be a sonic boom. You can with a fast enough impact even have a sonic boom in solid materials.