Is it normal to feel uncomfortable when you first put a tampon in?

That's pretty normal, especially for girls/women who have not had sex. One reason it could be uncomfortable is that it's dry; otherwise, it's simply the pulling. Every woman uterus is tilted a a different angle, so try pulling it out at a different angle to maximize comfort next time. The only reason to worry would be if you've left in a tampon for over 8 hours and you have very sharp pains, in which case, you should see a doctor or gynecologist to check for Toxic shock syndrome, a rare disease sometimes caused by prolonged tampon use.