Group of live animals discovered by yours truly leading horse by lake (9)
I believe the answer is:
menagerie
'group of live animals' is the definition.
(a menagerie is a collection of animals)
'yours truly leading horse by lake' is the wordplay.
'yours truly' becomes 'me' (the person that set this crossword).
'leading' says to put letters next to each other.
'horse' becomes 'nag' (term for an old horse).
'by' means one lot of letters go next to another.
'lake' becomes 'erie' (Lake Erie is one of the Canadian/US 'Great Lakes').
'me'+'nag'+'erie'='MENAGERIE'
'discovered by' acts as a link.
(Other definitions for menagerie that I've seen before include "Collection of wild animals in cages" , "A lot of wild animals" , "A collection of wild animals in captivity" , "Exhibited collection of wild animals" , "[TENNESSEE WILLIAMS] work in part" .)