Hi there,
Thanks for writing to us,
Pain during intercourse or dyspareunia is mainly due to vaginismus (reflux spasm of vagina during intercourse resulting in severe pain).
It may of various reasons like vaginal or urinary tract infections. The identification of the exact cause need proper examination.
It is usually common on newly married women who experience sex for first time.
The treatment may be physiological or psychological depends on the cause.
The painful experience itself have an bad impression of sex resulting vaginismus , which usually needs general counseling with an practitioner along with your partner.
Physical causes are treated with pelvic stretch exercises.
If your problem is getting severe ,it is advised to meet an GP as soon as possible to get examined and treated for the cause.
Let me know if you had further questions,
Good health
Regards,

Hello agricoisha
Welcome to Health Care Magic

First of all just to reassure you I would like to tell you that it is normal to have some pain in females during first intercourse, it may be due to break of hymen or also due to tightness of vaginal walls. So during sexual intercourse if a girl experience pain and fails to do, she may experience severe anxiety because of failure. This results in anticipatory anxiety about having sex as well as guilt of failure. Both anxiety and guilt further deteriorate the problem.
Yes use of lubrication will be beneficial but use only aqueous based (water) lubricants as oil based lubricants may cause infection. Secondly talk to your partner and gradually progress to next step. For relief of pain you can use any OTC analgesic like paracetamol, ibuprofen etc.
If problem persists then visit a gynecologist to rule out anatomical abnormality if any.

Thanks
Take Care