Adolescent girls and young women (AGYW) are at high risk of HIV and other sexually transmitted infections (STIs), including at first sexual intercourse. The literature is scarce on factors influencing use of protective strategies at this critical time. We conducted 20 in-depth interviews and five focus group discussions with purposively sampled AGYW aged 16-20years who reported first sex while enrolled in a larger cohort study and willing to participate. All AGYW were counseled on HIV prevention and had access to reproductive health information and services. Data collected were transcribed, translated and analyzed thematically. We identified two approaches to first sex. In one approach, the AGYW facilitated protection use, and those AGYW reported intention and preparation to initiate sexual activity and ability to request condom use, as well as their male partner's willingness to use and provide condoms. In another approach, AGYW experienced first sexual intercourse without agency (the feeling of control over actions and their consequences [Moore, 2016]) and described lack of prior intentions and planning, discomfort with discussions about sex and condom use, and desire to experience sexual pleasure as reported by peers. No AGYW mentioned parents/adults as playing any role as facilitators of protection use at first sex, highlighting the need for further research on the missing gap. The AGYW were trusting of verbal reports by male partners describing themselves as having never engaged in sex, HIV negative, and free of STIs. We found that some AGYW were empowered to plan, discuss, and request protection at first sex, and others did not take agency. First sex is a time of vulnerability where innovative strategies are needed to strengthen AGYW's agency and promote condom use and other HIV/STI prevention methods.