A gun having gone off, I took off in distress (9)
I believe the answer is:
anguished
'in distress' is the definition.
(anguished means distressed)
'a gun having gone off i took off' is the wordplay.
'having gone off' indicates anagramming the letters.
'took off' becomes 'shed' (I've seen this in another clue).
'gun' with letters rearranged gives 'ngu'.
'a'+'ngu'+'i'+'shed'='ANGUISHED'
(Other definitions for anguished that I've seen before include "Dolorous" , "Suffering greatly" , "Distressed mentally" .)