Agony at first over Royal Marine in shelter (7)
I believe the answer is:
torment
'agony' is the definition.
('torment' can be a synonym of 'agony')
'first over royal marine in shelter' is the wordplay.
'first' indicates taking the first letters.
'royal marine' becomes 'rm'.
'in' indicates putting letters inside.
'shelter' becomes 'tent' (tent is a kind of shelter**).
The first letter of 'over' is 'o'.
'o'+'rm'='orm'
'orm' put within 'tent' is 'TORMENT'.
'at' is the link.
(Other definitions for torment that I've seen before include "Punish" , "Cause mental distress" , "Harry" , "More TNT (anag.)" , "Severe pain" .)