While researchers have thoroughly studied the who, what, and when of first sexual experiences, we know much less about how people construct, experience, and proceed (or not) with sexual pleasure in these experiences and beyond. To address this knowledge gap, the Global Advisory Board for Sexual Health and Wellbeing (GAB) coordinated a rapid review of published peer-reviewed research to determine what is currently known about sexual pleasure in first sexual experiences. We found 23 papers exploring this subject and its intersections with sexual health and sexual rights. The results reveal significant gaps in erotic education, gender equity, vulnerability and connection, and communication efficacy; and highlight important domains to consider in future research. Our findings draw out the key features of pleasurable first sexual experience(s), namely that individuals with the agency to formulate their definition and context of what pleasure means to them are more likely to experience pleasure at first sex. This finding points to promising ways to improve first sexual experiences through erotic skills building and through addressing knowledge gaps about having sex for the first time among disadvantaged groups.