The problem with gun in fantasy setting is once everyone got it, villain will become bulletproof.

A lot of times it's not too useful, actually.

1) Slime villain wouldn't be affected by it in the first episode

2) During the UA attack they're meant to be in school for training, so why would anyone bring a gun? Although admittedly Snipe having a gun saved a few of them at the end.

3) During the attack during the training trip, either only teachers would have guns (And the teachers firepower was never the problem) or you'd be giving guns to 40 scared 15-year-olds and having them running around a dark forest at night. If you want to be specific, one can assume that if Deku had a gun he likely wouldn't be able to shoot through Muscular's body

4) During the raid on the villains base, it's pretty obvious that they had it in the bag before the Nomu's and AfO showed up, both of which are extremely likely to be impervious to bullets.