Gulf State’s leader covered by a Times supplement at first (5)
I believe the answer is:
abyss
'gulf' is the definition.
(thesaurus)
'state's leader covered by a times supplement at first' is the wordplay.
'leader' indicates taking the first letters.
'covered by' says to put letters next to each other (on top of in a down clue).
'times' becomes 'by' (I've seen this in other clues**).
'at first' says to take the initial letters.
The first letter of 'state' is 's'.
The initial letter of 'supplement' is 's'.
'a'+'by'='aby'
's' put after 'aby' is 'abys'.
'abys'+'s'='ABYSS'
(Other definitions for abyss that I've seen before include "deep depression" , "Measureless chasm" , "Bottomless pit" , "Very large and deep chasm" , "canyon?" .)