City with Grub Street set up in central part (10)
I believe the answer is:
pittsburgh
'city' is the definition.
(Pittsburgh is an example)
'grub street set up in central part' is the wordplay.
'street' becomes 'st' (abbreviation).
'set up' shows that the letters should be reversed in order (in a down clue, letters go up).
'in' indicates putting letters inside.
'central part' becomes 'pith' (I've seen this in another clue).
'grub'+'st'='grubst'
'grubst' back-to-front is 'tsburg'.
'tsburg' going into 'pith' is 'PITTSBURGH'.
'with' acts as a link.
(Other definitions for pittsburgh that I've seen before include "port" , "US industrial city" , "Pennsylvania city on the Ohio River" .)