really embarrassing sex problem!

Ok so my fiancé was the first person I've slept with. After I lost my virginity it took a few more times of having sex for me to recover and actually start enjoying it and feeling good. But even after that, I've noticed a problem. If I sneeze too hard, I pee just a little bit. Or if I've held it for a really long time and I wasn't able to find a bathroom, I pee just a little bit. Is this normal? I lost my virginity in December of 2015 and I've been sexually active since then so it's not like I just lost my virginity and I'm still recovering. But I never had this problem before then! Is this normal? I thought this was only suppose to happen after you have babies?