We're often more than a little apprehensive the first time we sleep with someone. Women worry it'll hurt, men worry about not performing well enough, which would hurt their male pride.
It's normal for women to feel pain the first time - both men and women know it very well. But if he's having problems, the result is total shame and humiliation, and it can become a real complex, making each 'first time' with a new partner into a trauma.
At least for women, the very first time we have sex is stressful, but after that we relax much more than men.