Prince, say, depressed in the shade (5,4)
I believe the answer is:
royal blue
'the shade' is the definition.
(shade of blue)
'prince say depressed' is the wordplay.
'prince say' becomes 'royal' (prince is a kind of royal).
'depressed' becomes 'blue' (I've seen this in another clue).
'royal'+'blue'='ROYAL BLUE'
'in' is the link.
(Other definitions for royal blue that I've seen before include "A shade Conservative" , "Your be-all (anag) - shade" , "Dark colour" , "Queen's shade?" , "Bally euro (anag.)" .)