Thinking cannily when Egyptian King’s heading for Egypt (6)
I believe the answer is:
astute
'thinking cannily' is the definition.
'when egyptian king's heading for egypt' is the wordplay.
'when' becomes 'as'.
'egyptian king' becomes 'tut' (nickname of Tutankhamun).
'heading for' indicates taking the first letters.
The first letter of 'egypt' is 'e'.
'as'+'tut'+'e'='ASTUTE'
(Other definitions for astute that I've seen before include "Canny and sagacious" , "Sharp and clever" , "Discerning" , "Able to assess (people or situations) accurately" , "Clever and perceptive" .)