Vaginal Sex
Many individuals report that their first experience with vaginal sex may involve some discomfort but not necessarily pain if they are adequately prepared. Factors such as anxiety or insufficient arousal can lead to discomfort during initial penetration.
Anal Sex
Conversely, first-time anal sex often comes with a higher likelihood of pain due to the tightness of the sphincter muscles and lack of lubrication. Many people report that it feels more intense initially because passing through the sphincter can be quite tight. However, with proper preparation (such as relaxation techniques and gradual introduction), this pain can be minimized.

Conclusion
Overall, first-time anal sex tends to be perceived as more painful compared to first-time vaginal sex, primarily due to anatomical differences, lack of natural lubrication in the anus, and psychological factors like anxiety affecting muscle tension. Proper preparation techniques such as using ample lubricant and engaging in foreplay are critical for minimizing discomfort in both cases.