Some girls bleed the first time they have sex, but not all girls do. The reason some girls bleed the first time they have sex is because their hymen stretches or tears. The hymen is a very thin piece of skin-like tissue that partly covers the opening of the vagina. Some girls are born without much of a hymen. Other girls' hymens cover a large portion of the vagina's opening. It all depends on the girl.
Whether a girl bleeds also partly depends on whether the hymen is stretched or torn before sex. It is possible for this to happen from vigorous physical activity, tampon insertion, and masturbation or fingering.
Remember to always use a condom every time you have sex, including the first time, to help protect against pregnancy and STDs.