Lots of deities (female) face a setback (5)
I believe the answer is:
fates
'lots of deities' is the definition.
'female face a setback' is the wordplay.
'face' suggests taking the first letters.
'setback' becomes 'tes' (I've seen this in other clues).
The initial letter of 'female' is 'f'.
'f'+'a'+'tes'='FATES'
(Other definitions for fates that I've seen before include "Clotho, Lachesis and Atropos" , "Goddesses governing human lives" , "Straighten out" , "classical goddesses" , "Three Greek goddesses who presided over life and death" .)