Thrill having caught the thing in Devon river (6)
I believe the answer is:
excite
'thrill' is the definition.
(thrill can mean to excite)
'caught the thing in devon river' is the wordplay.
'caught' becomes 'c' (cricket abbreviation).
'the thing' becomes 'it'.
'in' means one lot of letters goes inside another.
'devon river' becomes 'exe' (I've seen this in another clue).
'c'+'it'='cit'
'cit' inserted inside 'exe' is 'EXCITE'.
'having' acts as a link.
(Other definitions for excite that I've seen before include "Kindle" , "Elicit enthusiasm" , "fire" , "Stimulate - arouse" , "Send" .)