Uncharted is one of Naughty Dog's most famous franchises ever since the first game launched for the PlayStation 3 in 2007. Over the years, Uncharted got four sequels, ending with Uncharted 4: A Thief's End being released on the PlayStation 4 in May of 2016—giving a proper ending to the series.
The Uncharted games were always paying homage to other popular movie franchises, which helped define the atmosphere, tone, and personalities of the main characters—taking cues from Indiana Jones, more in particular, for series' main protagonist Nathan Drake. Much like Doctor Jones, Nathan Drake has the luck factor by his side at all times, which makes him an even more relatable character as he doesn't always fit the heroic stereotype, making mistakes just like the rest of us.
We have recently found out, thanks to a tweet by Naughty Dog animator Jonathan Cooper, that Nathan Drake never takes a single bullet in the games. While this isn't quite accurate—given that he does get shot in Uncharted 2: Among Thieves in that very memorable train sequence—what they mean is that Drake never takes bullet damage when he's being controlled by the player.
As per Cooper's tweet, he mentions that he learnt early on, when he joined the team, that "Drake doesn't ever take bullet damage", and that the red UI that shows where the character is being shot from actually represents his "luck" gauge running out. When his luck runs out, he will take the shot and die on the spot. So, basically, he's always lucky that bullets aren't hitting him, but enough near -misses will deplete his "luck gauge".
This was later corroborated by former Naughty Dog writer, and Uncharted series' game director, Amy Hennig who said "True! That was the original intention (to stay more aligned with the spirit and tone of the films we were homaging)", alluding to the Indiana Jones movies they were inspired by.