Anal sex

So my boyfriend and I were going at it for the first time in over a week, and I told him I wanted him to be rough with me this time. We were enjoying ourselves and he decided to try the other whole. I've never had anal sex. When I was with my ex he was able to get 3 fingers in. My current bf and I tried it once before and he couldn't even get the tip in. This time he got in a bit, it was fine at first then it was like I got stabbed in the ass. I literally yelled "ow, ow, ow!" It honestly almost made me cry. He pulled out right away and apologized a bunch, and joked about me wanting it rough. Now I'm scared to try it again, and I feel embarrassed from the last time. And I feel bad because I know he really likes it, but I really didn't enjoy that. After we laid there for a little bit we did finish having sex. And we had sex yesterday (this happened the day before). Should I be embarrassed about this? There is just a bunch about anal that makes me nervous.