Dog Rex held by extremity (5)
I believe the answer is:
trail
'dog' is the definition.
(both can mean to follow)
'rex held by extremity' is the wordplay.
'rex' becomes 'R' (abbreviation e.g. GR=George Rex, King George).
'held by' means one lot of letters goes inside another.
'extremity' becomes 'tail' (extremity on an animal's body).
'r' inserted inside 'tail' is 'TRAIL'.
(Other definitions for trail that I've seen before include "Track, route" , "Straggle" , "Follow - track" , "Way" , "Be drawn belong behind" .)