Last, but not first, swimmer is off course (6)
'off course' is the definition.
(to be led astray is to be led off course)
'last but not first swimmer' is the wordplay.
'but not first' means to remove the first letter.
'swimmer' becomes 'ray' (ray is a type of fish).
'last' with its first letter taken off is 'ast'.
'is' is the link.
(Other definitions for astray that I've seen before include "Up the garden path?", "Gone off the right path", "Wandering, errant", "Philip -, English twentieth century poet", "(Gone) in wrong direction".)