Pain during sex?

Since I have started having sex with my boyfriend I have had trouble with having sex. It's ok to begin with a little painful putting it in (everything is always well lubricated) but after that it's all good but eventually starts really hurting. My parter understands and never says a bad word about it but I always feel guilty because he doesn't finish. I don't have an infection I went to the doctors to check. Anyone have any suggestions?