Welcome to the boards, xocat. I'm sorry that you're both feeling so worried and stressed about this. I'll do my best to help.
First, I'm hearing what sound like a couple things in the mix -- or missing from the mix -- that might be part of what's up here. It's unlikely any of this is about "how you're built."
The first is the expectation that body parts just slide into each other easily, and that's it's unusual or problematic for it to take some experimenting to make things work: it's not. This is how all kinds of sex most often go in reality, especially when we're either new to one another as partners, new to a given kind of sex together, or both. Often, that experimentation won't even just be for one time of being sexual together, but over days, weeks, months, and then, even when we really know each other's bodies and how they work together well, there will still be times we need to experiment again, whether that's about trying new things, or about something changing with us or our bodies. Experimentation like you had is normal and nothing to feel ashamed about. But if you felt embarrassed and flustered, you probably felt more anxious and less aroused than you could have been, which can result in things like it not feeling great or some bleeding. Same goes with you talking about how you felt nervous, period.
The second is that I don't hear about you using any lubricant in here. It sounds like you're saying you did a bunch of things to get your body to lubricate, but often our own lubrication just doesn't do the trick, especially when and if we're new to this, and extra-especially if there are condoms involved. Our own bodies lubrication just isn't as slippery and protective as the good stuff that's store-bought, alas.
The third is that when things hurt, instead of stopping, you kept going. The way to deal with pain with sex isn't to keep going and to wait for it to stop, but to stop what's hurting. That is how we stop the pain. Then you can either try something different -- be that a different way of having intercourse or a different kind of sex altogether -- or just stop for the day. If we keep doing something painful, it usually stays or gets more painful. That pain might have also been from abrasion, which is why the bleeding may have happened.
Lastly, it sounds like you might have moved to having intercourse without trying other kinds of sex with vaginal entry first that can be more gradual. have you two engaged in manual sex, for instance, where he's just using one finger for entry to see how that feels and to get used to that? Or vaginal entry sex with a toy that's considerably smaller than his penis?
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