She leaves the sheep after we sadly cry (4)
I believe the answer is:
weep
'cry' is the definition.
(I know that cry can be written as weep)
'she leaves the sheep after we sadly' is the wordplay.
'leaves' indicates named letters should be taken away.
'after' says to put letters next to each other.
'sadly' indicates anagramming the letters.
'sheep'+'we'='sheepwe'
'sheepwe' with 'she' taken away is 'epwe'.
'epwe' is an anagram of 'WEEP'.
(Other definitions for weep that I've seen before include "pipe" , "Seep slowly out" , "lament" , "Bawl" , "Turn on the waterworks" .)