A hydrogen cryogenic pellet injection system was fabricated and applied to high-density experiments in a Heliotron J device. The fueling through pellet injection was conducted in Heliotron J by using an injection barrel with a tapered structure for a small pellet with low speed. A single pellet with a speed of 260 ± 30 m s−1 and a typical size of 1.1–1.2 mm was injected into NBI + ECH plasmas and NBI-only plasmas. In both cases, a significant increase in electron density was observed upon pellet injection. The increase in line-averaged electron density due to pellet injection was 4.0 ± 0.7 × 1019 m−3 in both cases. Pellet fueling leads to high stored energy in the high-electron-density regime. A peaked electron density profile with high core density is obtained in NBI-only plasmas after pellet injection, while the edge density is kept at a lower level. An innovative Hα array measurement shows that the pellet has penetrated into the magnetic axis in NBI + ECH plasmas, while the penetration depth in NBI-only plasmas is beyond the magnetic axis, which is deeper than that in NBI + ECH plasmas. The difference in penetration depth cannot be explained by the simulation results of the ablation code, in which the effect of fast electrons/ions on pellet ablation is not considered. These results suggest that the effect of fast electrons/ions should be taken into account in the ablation code in order to explain the present experimental results.