Depressed, as many have to confess (4)
I believe the answer is:
down
'depressed' is the definition.
(I know that depressed can be written as down)
'many have to confess' is the wordplay.
'many' becomes 'd' (Roman numeral for 500).
'have' means one lot of letters go next to another.
'to confess' becomes 'own' (I've seen this before).
'd'+'own'='DOWN'
'as' acts as a link.
(Other definitions for down that I've seen before include "Pillow filler - dejected" , "like the other set of clues" , "Melancholy" , "Rolling hill; soft feathers" , "Depressed - drink" .)