Caught looking embarrassed over initially expression of belief (5)
I believe the answer is:
credo
'expression of belief' is the definition.
(a credo is a statement of one's beliefs)
'caught looking embarrassed over initially' is the wordplay.
'caught' becomes 'c' (cricket abbreviation).
'looking embarrassed' becomes 'red' (someone may go red when embarrassed).
'initially' indicates taking the first letters.
The initial letter of 'over' is 'o'.
'c'+'red'+'o'='CREDO'
(Other definitions for credo that I've seen before include "Formal statement of principles" , "conviction" , "Guiding beliefs" , "A statement of one's beliefs" , "Part of the service" .)