Firstly, no, there is nothing wrong with your body. Many women can't orgasm from penetration alone, most of the population I heard anyway. To make intercourse feel better, suggest with your boyfriend to spend more time doing foreplay. This should heighten sexual pleasure. Also, before sex I find it's better if you take things slowly, don't just undress and do the dirty. Spend time softly kissing and touching with clothes on.
As I said, many women can't orgasm from just intercourse so either you or your boyfriend could play with your clitoris during penetration. From personal experience, if we do this my orgasm is a lot more intense and lasts longer.
I hope this helps, good luck
- rosa