Not at first, imagine unravelling riddle (6)
I believe the answer is:
enigma
'riddle' is the definition.
(I know that riddle can be written as enigma)
'not at first imagine unravelling' is the wordplay.
'not at first' means to remove the first letter.
'unravelling' indicates an anagram.
'imagine' with its initial letter removed is 'magine'.
'magine' is an anagram of 'ENIGMA'.
(Other definitions for enigma that I've seen before include "Puzzling person/thing" , "WW two Ger. code device; puzzle" , "Difficult problem" , "It's mysterious like gamine" , "'Mystery, riddle (6)'" .)