Soreness during sex

So my boyfriend and I have been having sex for about a year now. I have been struggling with pain, bleeding, and struggling to figure out the right birth control. That being said I am going back to the doctor soon to talk about my current issue. I've noticed that sex has really begun to hurt. It's hard to get him in because I'm worried it will hurt and then it gets so bad sometimes where I have to tell him to stop. I've used lubricant ever since we started and it hasn't helped. We even tried non latex condoms because the thought I had an allergy but those hurt even more than the regular condoms. I want to use condoms as well as my birth control (I'm on the depo shot) So I'm extra protected. I noticed though tonight that in the heat of passion my bf and I decided not to use a condom and woah it suddenly didn't hurt as much. I was a little sore after the first time but the second I wasn't even sore after. I wanted to know why this is happening. Any ideas?