This question already has an answer here:
As mentioned in the answer here, within the scope of MCU and as well as in the comic books, Asgardians are quite resistant to bullets.
However, I was recently re-watching The Avengers (2012) movie and something caught my eye.
At the beginning, when the Tesseract opens the portal and Loki appears, the S.H.I.E.L.D agents start shooting him and he was completely unaffected by it. As a matter of fact, he seemed completely immune and the bullets simply bounced off of him. This, may well be plausible as Asgardian physiology is different from humans.
But when Loki and Hawkeye are leaving the premises, Loki, for a moment, is seen to be straining himself and show pain as if those bullets hurt him (I can't put this into better words so I've added a video and a photo below to show it).
In the video, pay attention at around the 3:30 ~ 3:40 minute mark.
So, how can Loki be hurt by the bullets if bullets don't affect him?