Word of advice — try harder at first (4)
I believe the answer is:
oath
'word' is the definition.
(I've seen this in another clue)
'of advice try harder at first' is the wordplay.
'at first' indicates taking the first letters.
The initial letters of 'of advice try harder' is 'OATH'.
(Other definitions for oath that I've seen before include "Sworn declaration" , "Strong language" , "blasphemy" , "gadzooks!" , "darn, for example" .)