The European so hot wandering in African country (7)
I believe the answer is:
lesotho
'african country' is the definition.
(Lesotho is an example)
'the european so hot wandering' is the wordplay.
'the european' becomes 'le'.
'wandering' indicates an anagram.
'hot' is an anagram of 'tho'.
'le'+'so'+'tho'='LESOTHO'
'in' is the link.
(Other definitions for lesotho that I've seen before include "South African kingdom" , "African territory" , "Southern African country, capital Maseru" , "Landlocked country in southern Africa" , "Country, an enclave of South Africa, capital Maseru" .)