Legendary bird in Arizona's capital (7)
I believe the answer is:
phoenix
This clue is a triple definition!
'legendary bird' is the first definition.
(I've seen this in another clue)
'in arizona's' is the second definition.
(Phoenix is the capital of Arizona)
'capital' is the third definition.
(state capital of Arizona)
(Other definitions for phoenix that I've seen before include "Mythical bird rising from funeral pyre" , "Legendary bird born from ashes" , "Arizona city (that rose from the ashes?)" , "Legendary bird -- Arizona city" , "Mythological bird" .)