Captain given warning to turn back (4)
I believe the answer is:
nemo
'captain' is the definition.
(character from 20,000 Leagues Under the Sea)
'warning to turn back' is the wordplay.
'warning' becomes 'omen' (omen can mean a warning or sign of the future).
'to turn back' shows that the letters should be reversed in order (I've seen 'turning back' mean this).
'omen' back-to-front is 'NEMO'.
'given' acts as a link.
(Other definitions for nemo that I've seen before include "commander for the Nautilus" , "Literary captain" , "Fish sought in film" , "Jules Verne's submarine captain" , "Captain of the Nautilus" .)