Intercourse shouldn't hurt, the first time or any time. If someone has pain, that pain means something isn't quite right, and it's a big signal to stop. Hopes and intentions for first intercourse can and should definitely be higher than "not so bad"! For sure, it may well have moments of awkwarndness, klutziness, and cluelessness, but a good baseline is that it should be something everyone involved is super-excited to do, and fun and enjoyable. If you'd like to read more about that way of thinking of it, I always love
An Immodest Proposal.
People can have pain if they're not aroused enough, mentally or physically: the vagina relaxes and expands with arousal. Too, the vagina's a muscle, so if someone's very nervous and tense and has tense muscles, that'll probably include the vagina. Lube is definitely a key part of intercourse, because without it, there can be too much friction, which can also cause pain. For all the details:
From OW! to WOW! Demystifying Painful Intercourse
If you haven't seen it already, you'll probably find
First Intercourse 101 helpful, and any of our other pieces linked in that one.
Other kinds of sex than intercourse are sex too
I know there's a fairly common framework where only intercourse "counts" as sex, or only intercourse is "really" or "actual" sex, but that doesn't really fit with the realities of most people's sexual lives or the feelings they have about it. Lots of people have kinds of sex that aren't intercourse but are very definitely sex. That framework also tends to be a barrier to having a healthy and emotionally rewarding sexual life, not to mention communication difficulties for reproductive health, so it's one we try to get away from here.
What's Sex? will tell you where we're coming from.
There isn't any one activity or progression that could be considered a "safe start", because everyone is different, feels differently, and has different needs. What might be a very big deal for some people won't be so much for others. One universal is the amount of STI transmission risk and pregnancy risk from different activities and how to lower those risks, so that's a thing you'll want to look into first so you have the information that'll help you make the right decisions for you. What
is different for each person is the level of risk that you're comfortable with. I'd suggest checking out:
Safe, Sound & Sexy: A Safer Sex How-To
Safer Sex...for Your Heart
Yes, No, Maybe So: A Sexual Inventory Stocklist