This is common for first-time intercourse and doesn't always mean something is wrong. Pain and bleeding on first penetration usually comes from a tight vaginal opening or hymen. Sometimes the vaginal muscles tighten up on their own, a pattern called vaginismus. This responds well to treatment.
Next Steps
A gynaecologist can examine you to check nothing else is contributing, and guide you on using lubrication and going slowly to make penetration easier over time.
Health Tips
See a doctor sooner if the bleeding is heavy, doesn't stop, or the pain continues beyond this first attempt.