Rather than him thrusting away right from the start, what he should be doing is pushing gently inside you an inch at a time then pulling out (not all the way) then pushing gently again going a bit deeper, and keep repeating this until the majority of his dick is inside you.
Then, he needs to give you time to adjust - and maybe pull out (slowly) again if you're finding it uncomfortable, until you are ready again at which point he can ease in slowly again. Once you are totally relaxed with him inside you most of the way he can start gently thrusting, paying attention to make sure it's not hurting you. Soon enough you'll be pushing back and impaling yourself and begging him to go deeper, hehe!
It sounds to me like he's quite an inexperienced top if he's thrusting from the get-go with a new bottom. Maybe you could also try being on top and controlling how much of his dick goes in you and the speed of it - just a bit at a time while your ass adjusts.
It just takes a little practice initially, you won't need to do this every single time, you will get used to it and know what your body needs and is telling you - make sure you communicate that to your partner! Also, goes without saying make sure you are clean down there and use plenty of lube and a condom!