Depressed women entertained by fellow (4)
I believe the answer is:
down
'depressed' is the definition.
('down' can be a synonym of 'depressed')
'women entertained by fellow' is the wordplay.
'women' becomes 'w'.
'entertained by' indicates putting letters inside (I've seen this in other clues).
'fellow' becomes 'don' (I've seen this before**).
'w' going inside 'don' is 'DOWN'.
(Other definitions for down that I've seen before include "In a low mood; hill" , "floor" , "Some 13 Acrosses" , "Soft feathers (like this clue)" , "Not working (computer)" .)