Yes. It is going to be okay. The first time I put one in I cried so hard. If you shoved it in to far that could be causing the pain. A lot of it is mental. I suggest you put something on your tummy that is warm and drink something soothing. A warm teacup against your tummy and drinking a peppermint tea/ warm milk really helps
When you insert a tampon, lean forward a little, aim for the small of your back. Have the string hang down a little, so it's easier to grasp when you go to change it for a new one. If you have a plastic applicator, sometimes that's easier because the surface is plastic, and it slides in easier. If you don't have an applicator, you might use Vaseline to lubricate it before inserting it. Your body is not used to having a tampon; it will adjust once you get the hang of it. Hope this helps.
Doesn't matter if it's your first time or not. If you're using the correct size and inserting it properly, you shouldn't be able to feel it at all. Try using a smaller one - there's a teen size you might find helpful. Also, make sure it's inserted all the way before removing the applicator. If you haven't already, remove the one that's uncomfortable and try again. Relax, take your time, you'll do fine.