Pussy is crossing avenue — caution! (6)
I believe the answer is:
caveat
'caution' is the definition.
('caveat' can be a synonym of 'caution')
'pussy is crossing avenue' is the wordplay.
'pussy' becomes 'cat' (I've seen this before).
'is crossing' is an insertion indicator.
'avenue' becomes 'ave'.
'cat' placed around 'ave' is 'CAVEAT'.
(Other definitions for caveat that I've seen before include "At cave (anag.)" , "A caution, proviso" , "A warning against certain acts" , "A notice or warning" , "'Warning, proviso (6)'" .)