Setter barking after spy leaves Tube station (4,6)
I believe the answer is:
bond street
'tube station' is the definition.
(station on the London Underground or 'Tube')
'setter barking after spy' is the wordplay.
'barking' indicates an anagram (UK slang for mad).
'after' means one lot of letters go next to another.
'spy' becomes 'bond' (James Bond).
'setter' with letters rearranged gives 'street'.
'street' put after 'bond' is 'BOND STREET'.
'leaves' acts as a link.
(Other definitions for bond street that I've seen before include "> West End locale - with 2d" , "Luxury shopping area in central London" , "shopping location" .)