Sound of distress when girl's first put on horse (5)
I believe the answer is:
groan
'sound of distress' is the definition.
(I've seen this in another clue)
'girl's first put on horse' is the wordplay.
'girl's first' becomes 'g' (rst letter of 'girl').
'put on' means one lot of letters go next to another.
'horse' becomes 'roan' (roan is a kind of horse).
'g'+'roan'='GROAN'
'when' is the link.
(Other definitions for groan that I've seen before include "Moan, grumble" , "Titus -- (Mervyn Peake)" , "Sound of one in pain" , "Utterance expressing pain or disapproval" , "Make pained sound" .)