Is this supposed to happen when jut starting to have sex?

My boyfriend and I have only ever been with each other. We decided to have sex for the first time a week ago. I’m on birth control and we were going to do the pull out thing. But it doesn’t even get to that point. I’m kind of confused because it’s not pleasurable, it’s just painful. We’ve been progressing and he’s been able to get more in every time we try, but it just hurts and I’m afraid it will never feel good. We use lube and I am well aroused. I never have trouble with him fingering me or anything. We had been doing missionary but I think it’s easier with me on top. Are different positions better for the first time? Is it common for it to be painful like that? It’s nothing excruciating, just not something I can handle.