Is it normal to feel sore after you use a tampon for the first time?

It's semi-normal to feel sore after using tampons any time. There's little about the first time specifically, unless you were especially uncomfortable about trying tampons for the first time. Most commonly pain is a result of using too high an absorbency for your flow: if not saturated in blood after 4-6 hours you need to use lower absorbency or pads. Also if you're tense rather than relaxed then you'd have had to force the tampon into your vagina which may irritate vaginal walls too.