European bishop, in surprise, leaving West (9)
I believe the answer is:
eastbound
'west' is the definition.
(thesaurus)
'european bishop in surprise' is the wordplay.
'european' becomes 'E' (abbreviation e.g. EU).
'bishop' becomes 'B' (abbreviation for bishop in chess).
'in' indicates putting letters inside.
'surprise' becomes 'astound' (to astound is to shock or surprise).
'b' inserted into 'astound' is 'astbound'.
'e'+'astbound'='EASTBOUND'
'leaving' acts as a link.
(Other definitions for eastbound that I've seen before include "Moving toward the orient" , "heading for the orient" , "as in A Passage to India?" .)