Headgear thrown at first in mud (5)
I believe the answer is:
mitre
'headgear' is the definition.
(mitre is a kind of headgear)
'thrown at first in mud' is the wordplay.
'at first' says to take the initial letters.
'in' indicates putting letters inside.
'mud' becomes 'mire' ('mire' can be a synonym of 'mud').
The initial letter of 'thrown' is 't'.
't' inserted inside 'mire' is 'MITRE'.
(Other definitions for mitre that I've seen before include "Bishop's tall headdress" , "Liturgical headdress" , "in which one might find a bishop" , "Corner joint - bishop's headdress" , "Merit (anag.)" .)