All alone and greatly depressed, they say (4)
I believe the answer is:
solo
'all alone' is the definition.
(I've seen this in another clue)
'greatly depressed they say' is the wordplay.
'greatly' becomes 'so' (I can't justify this - if you can you should give a lot more credence to this answer).
'depressed' becomes 'low' (similar in meaning).
'they say' indicates a 'sounds like' (homophone) clue.
'low' is a homophone of 'lo'.
'so'+'lo'='SOLO'
'and' is the link.
Can you help me to learn more?
(Other definitions for solo that I've seen before include "Card game; for one" , "(Piece performed) on one's own" , "One-person performance" , "Aline in Oslo" , "Go it alone" .)