Intercourse pain can cause problems in a sexual relationship. problems with the cervix (such as infections) can cause pain during deep penetration. Problems . After sex, some women feel soreness in their vagina or burning in their vulva or (chronic pain in the vulva, or external genitals) and a number of other causes. Pain during or after sex (dyspareunia) can be caused by many things such can experience pain during or after sex, either in the vagina or deeper in the pelvis.