Live in Her Majesty’s female quarters (5)
I believe the answer is:
harem
'female quarters' is the definition.
(I've seen this before)
'live in her majesty's' is the wordplay.
'live' becomes 'are' ('they live' means 'they are').
'in' is an insertion indicator.
'her majesty' becomes 'hm' (short for Her Majesty).
'are' put inside 'hm' is 'HAREM'.
(Other definitions for harem that I've seen before include "Where many wives" , "Muslim's wives" , "Separate women's quarters" , "Group of wives" , "women live here" .)