Have you put your finger all the way inside your vagina? Is it comfortable? Did you feel the way your vagina curves? If not, do this for your own education.
If you are using applicator tampons you can use a bit of personal lubricant on the outside, or use saliva too make it more slippery going in.
For sport, Playtex Sport may be the best choice, but you still have to try different ones to find out which one is most comfortable. Remember to start with the smallest ones until you are more comfortable.
Wait until you flow enough. If you are dry, tampons are difficult to insert and even more difficult to remove.
Put one foot on the edge of the toilet or bath, or sit on the toilet or squat slightly. This will open your vagina so that it is easier to go in. A way to find a position that will work is to put your finger inside your vagina and move your legs and body and feel when your vagina opens up. That is the position you want to be in when you insert the tampon.
Pushing your finger into your vagina first will also help you to make sure you understand the direction its got to go in.
Push it in as far as it will go, and then give it a little extra push. Do not worry, there is nothing you can break or damage up there. Then push it out of the applicator.
If it is correctly inserted, you will not feel it.
You can also do kegel exercises. Contract, release, contract, release. Do this a few times. Then release and insert the tampon. This will make you more aware of your muscles, and if they are relaxed or tense.
Make sure you flow enough to fill the tampon in 4 to 6 hours. If you are flowing light, it is not the time to try tampons. Especially until you are used to it.
When it gets stuck, twist and wiggle it in further. You can also push it in further with your finger after you remove the applicator.
If you do not get it in, relax, use a pad, and try next time. There is no reason to get anxious or frustrated. It will just make you tenser and make it more difficult to get in.