At Wimbledon bagel order covered by cheese roll (7)
I believe the answer is:
brioche
'roll' is the definition.
(I know that brioche is a type of roll)
'at wimbledon bagel order covered by cheese' is the wordplay.
'at wimbledon bagel' becomes 'O' (bagel can mean zero in tennis, eg at Wimbledon).
'order' becomes 'CH' (abbreviation for Companion of Honour).
'covered by' means one lot of letters goes inside another.
'cheese' becomes 'brie' (Brie is an example).
'o'+'ch'='och'
'och' put into 'brie' is 'BRIOCHE'.
(Other definitions for brioche that I've seen before include "French cake-like bread" , "Sweet french roll" , "French bread roll" , "Hire cob (anag) - bread" , "Bread roll of Normandy" .)