I'm surprised outlaw's captured marsupial (9)
I believe the answer is:
bandicoot
'marsupial' is the definition.
(bandicoot is a kind of marsupial)
'i'm surprised outlaw's captured' is the wordplay.
'i'm surprised' becomes 'coo' (exclamation of surprise).
'outlaw' becomes 'bandit' (bandit is a kind of outlaw**).
'captured' is an insertion indicator.
'coo' put inside 'bandit' is 'BANDICOOT'.
(Other definitions for bandicoot that I've seen before include "native of Australia" , "Australian marsupial with long pointed muzzle and tail" , "Little animal" , "Australian native" , "Aussie native" .)