Having anal sex can increase the risk of bacterial infection, pregnancy, Some of these tears may be very small, but they still expose the skin. If the muscles in the anus aren't relaxed and there isn't enough lubrication, it's likely that anal sex will hurt. It's important to relax, go slowly, stop. I had anal for the first time 3 days ago and it was fine. Didn't really hurt - was a little uncomfortable but that was it. We didn't use lube, but there.