Mailbags oddly depleted sadly (4)
I believe the answer is:
alas
'sadly' is the definition.
('alas' is used to express regret)
'mailbags oddly depleted' is the wordplay.
'oddly depleted' means one should take alternating letters.
The alternate letters of 'mailbags' are 'ALAS'.
(Other definitions for alas that I've seen before include "Woeful expression" , "Cry of woe" , "Regrettably, unfortunately" , "Sad expression" , "Cry of regret" .)