We leave a cowboy movie - it's grim (5)
I believe the answer is:
stern
'it's grim' is the definition.
(synonyms)
'we leave a cowboy movie' is the wordplay.
'leave' is a deletion indicator.
'a cowboy movie' becomes 'western' (I've seen this in another clue).
'western' with 'we' taken out is 'STERN'.
(Other definitions for stern that I've seen before include "Strict; severe" , "Demanding < back" , "Old star" , "Rents out at rear of boat" , "Poop" .)