Prophet with Welsh name heading west (4)
I believe the answer is:
seer
'prophet' is the definition.
(both can mean someone who tells the future)
'welsh name heading west' is the wordplay.
'welsh name' becomes 'rees' (common Welsh name).
'heading west' shows that the letters should be reversed in order.
'rees' in reverse letter order is 'SEER'.
'with' acts as a link.
(Other definitions for seer that I've seen before include "Person with unusual powers of foresight" , "I envisage" , "One who knows the future" , "Soothsayer" , "Clairvoyant, visionary" .)