Apostle boarding moving train has protective covering (9)
I believe the answer is:
tarpaulin
'protective covering' is the definition.
'apostle boarding moving train' is the wordplay.
'apostle' becomes 'paul' (St Paul is an example).
'boarding' means one lot of letters goes inside another.
'moving' is an anagram indicator.
'train' with letters rearranged gives 'tarin'.
'paul' inserted into 'tarin' is 'TARPAULIN'.
'has' is the link.
(Other definitions for tarpaulin that I've seen before include "Heavy waterproof cover" , "Waterproofed canvas" , "Strong waterproof sheet" , "sailor's hat" , "[SHHET]" .)