Sometimes people will experience pain with intercourse, yes, although it's something that shouldn't be painful! If you do experience pain, it's good to do what you did - stop and either make some adjustments and try again, or just decide to not continue trying to have intercourse for the moment.
Were you using a lubricant? That's something that people commonly leave out, and not only is it an important part of proper condom use, it can go a really long way towards making intercourse feel better, even if you're feeling like you're producing a lot of natural lubrication already.
Also, have you tried vaginal entry with something smaller, like a finger or two? If not, that might be a good place to start, so you can get used to that sensation.
We also have an article that goes into pain with intercourse in more detail, and has several tips on how to make things feel better:
From OW! to WOW! Demystifying Painful Intercourse