Knight, say, capturing rook to make a breakthrough (6)
I believe the answer is:
pierce
'to make a breakthrough' is the definition.
'knight say capturing rook' is the wordplay.
'knight say' becomes 'piece' (knight is a kind of piece).
'capturing' is an insertion indicator.
'rook' becomes 'r' (abbreviation in chess).
'piece' going around 'r' is 'PIERCE'.
(Other definitions for pierce that I've seen before include "Punch" , "Bore hole through, perhaps ear" , "Make hole in using pointed instrument" , "Make hole in, penetrate" , "Riddle" .)