Set off with southern colleague on Scottish river (5,5)
I believe the answer is:
sally forth
'set off' is the definition.
(sallying forth is a kind of setting off)
'southern colleague on scottish river' is the wordplay.
'southern' becomes 's' (abbreviation).
'colleague' becomes 'ally' (ally can mean a colleague or associate).
'on' says to put letters next to each other (in a down clue, letters appear on others).
'scottish river' becomes 'forth' (I've seen this before).
's'+'ally'+'forth'='SALLY FORTH'
'with' is the link.
(Another definition for sally forth that I've seen is " Go out".)