Shrink from Djibouti's capital, say (5)
I believe the answer is:
dread
'shrink from' is the definition.
(thesaurus)
'djibouti's capital say' is the wordplay.
'capital' suggests taking the first letters.
'say' becomes 'read' (synonyms).
The first letter of 'djiboutis' is 'd'.
'd'+'read'='DREAD'
(Other definitions for dread that I've seen before include "Get cold feet" , "Enormous apprehension" , "quail" , "Be afraid of - anxiety" , "Terror" .)