Sex is painful for nearly one in ten women....

A study of over 7,000 sexually active women aged 16-74 in the British Journal of Obstestrics and Gynaecology suggests that dyspareunia (painful intercouse) is common and affects women of all ages.

This is something that can be helped with proper treatment and i would recommend seeking advice on this either from your doctor or a sex therapist, however embarrassing it might feel. 

Painful sex is often linked to other sexual problems such as vaginal dryness, feeling anxious during sex and lack of enjoyment of sex.  

http://www.bbc.co.uk/news/health-38729240