Marched, circling building (4)
I believe the answer is:
arch
'building' is the definition.
'marched circling' is the wordplay.
'circling' indicates the answer is hidden within the clue (the answer is circled or surrounded by the clue).
'ARCH' can be found hidden inside 'marched'.
(Other definitions for arch that I've seen before include "This enemy is major" , "Instep of foot" , "Affectedly playful like curved structure" , "Curved masonry construction" , "Annoyingly playful" .)