You do not say but I assume it is your first time attempting intercourse?
Various things can cause painful penetration the first time. The presence of a hymen is normally the primary cause. Tearing the hymen can be hard and the difficulty differs from women to women. At your age however the hymen should have opened up a bit and be extremely flexible (due to your hormones), unless you have a septate or more closed form of hymen. Did you ever take a look to see what is going on?
Do you insert something into your vagina when you masturbate and do you have pain then? Do you find it easy to use a tampon?
Another reason can be that there is just not enough lubrication. You can buy personal lubricant in you local store's condom isle and use enough on both your vaginal opening and his penis.
I hope you are practicing safe sex if you do not want to become pregnant!