Hello, Usually pain during the initial stages of penetration is due to UTI and vaginal infection or vaginitis, a tight vaginal wall, sores at the mouth of vagina or vestibulitis, vulvodynia or a dry vagina (frictional injury), thrush or fungal infection. It can be vulvodynia as well. Pain on deep penetration is due to pelvic inflammatory disease, endometriosis, irritable bowel syndrome, pelvic tumors, cervical and uterine infections and tumors. Depending on the site of pain during penetration, diagnosis can be made. Please get an examination done from your gynecologist. Hope it helps you. Regards.