Actress at first put on nothing in indigo (4)
I believe the answer is:
anil
'indigo' is the definition.
(anil is a kind of indigo)
'actress at first put on nothing' is the wordplay.
'at first' says to take the initial letters.
'put on' is a charade indicator (letters next to each other).
'nothing' becomes 'nil' ('nil' can be a synonym of 'nothing'**).
The first letter of 'actress' is 'a'.
'a'+'nil'='ANIL'
'in' is the link.
(Other definitions for anil that I've seen before include "A blue dye" , "It produces dye" , "Colouring" , "Indian man" , "Dye for nail" .)