Pony I kept in sanctuary, having lost its tail (7)
I believe the answer is:
sheltie
'pony' is the definition.
(informal term for Shetland pony)
'i kept in sanctuary having lost its tail' is the wordplay.
'kept in' indicates putting letters inside.
'sanctuary' becomes 'shelter' (a shelter is a place of sanctuary).
'having lost its tail' means to remove the last letter.
'shelter' with its final letter removed is 'shelte'.
'i' placed inside 'shelte' is 'SHELTIE'.
(Other definitions for sheltie that I've seen before include "Shetland pony" , "dog or pony" , "Type of 17 -- the lies (anag)" , "Sheepdog" .)