Can't climax

So I've been having sex with my boyfriend (ex now) and when we do oral or any kind of foreplay I can climax easily. But when we actually have sex I can't. Like at all. It will feel amazing but after a while it just hurts. I heard that most women can't do so without stimulation to the clit as well but I just don't know. I talk to him about it and he thinks it's a mental thing. Please give me tips on how to maybe not be so self conscious and let myself go to climax. I don't want him to feel like he's not good because he's amazing!