I'm sorry you are dealing with such a frustration situation. You don't say how old you are or whether you are a virgin, but sometimes if you have not have intercourse before, breaking your hymen can be painful. There are cases where the hymen is actually tough enough that women have had to have their doctor break it. This is one possibility.
There are many things that can cause painful intercourse. Vaginal dryness is one of them. You might consider using some sort of lubrication to see if that will help. But if the pain continues, you really should see a health care provider.
Have you ever had a pelvic exam and Pap test? Some women have anatomical differences that can make intercourse painful, such as a tipped uterus. I suggest you be seen by a health care provider for an exam to be sure that everything is normal with your anatomy. Something like a tipped or tilted uterus doesn't cause huge problems as a rule, but it can affect your sex life. So if the pain continues, get yourself checked out to find the cause of the pain. You don't want to do yourself any damage or end up with an aversion to sex because of this.
We have quite a few articles on this sort of problem in our Sexual Well-Being area here on the site. https://www.empowher.com/condition/sexual-well-being Maybe looking at those will help you as well. Please let us know if we can do anything further for you.