At first, convict turned grey in the pen (5)
I believe the answer is:
caged
'in the pen' is the definition.
(pen can mean a cage or enclosure)
'at first convict turned grey' is the wordplay.
'at' means one lot of letters go next to another.
'first convict' becomes 'c' (1st letter of 'convict').
'turned grey' becomes 'aged' (went grey with age).
'c' next to 'aged' is 'CAGED'.
(Other definitions for caged that I've seen before include "Cooped up" , "in prison" , "Shut up" , "Confined behind bars" , "In a zoo?" .)