Your question is very common among young people. I'll start by telling you that it doesn't hurt men the first time, but you probably knew that already. It may hurt women; it depends on a couple things.
Women are born with a hymen, which is a membrane, which either completely or partially blocks the vaginal opening. Having sex for the first time will break this membrane. The hymens existence in women was once used to confirm or deny her virginity; however, in today's world there are many ways other than sex to break it. The use of tampons, sexual activity other then sex, or even strenuous physical activity can result in a breaking of the hymen. If the hymen is fully intact breaking it during sex, it may hurt, or even bleed.
There are also other reasons for potential pain, often both parties are inexperienced and one or both members may be a bit too reckless, it need not be the first time for this reason to cause pain during sex. It is also possible that a body is not ready for such an undertaking, and pain may be the result.
You can get pregnant the first time! Be Prepared.
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