Small step led three oddly to discover compound (9)
I believe the answer is:
saltpetre
'compound' is the definition.
(saltpetre is a kind of compound)
'small step led three oddly' is the wordplay.
'oddly' indicates alternate letters.
'small'+'step'+'led'+'three'='smallstepledthree'
The alternate letters of 'smallstepledthree' are 'SALTPETRE'.
'to discover' is the link.
(Other definitions for saltpetre that I've seen before include "Nitre" , "It's used as a fertilizer and explosive" , "Compound" , "Constituent of gunpowder" , "Potassium nitrate" .)