European leaving underworld with puzzle (5)
I believe the answer is:
rebus
'puzzle' is the definition.
(I've seen this before)
'european leaving underworld' is the wordplay.
'european' becomes 'e' (abbreviation e.g. EU).
'leaving' suggests deleting specific letters.
'underworld' becomes 'erebus' (erebus greek deity born of chaos).
'erebus' with 'e' removed is 'REBUS'.
'with' is the link.
(Other definitions for rebus that I've seen before include "Pun picture puzzle" , "solver?" , "Puzzling symbols, etc" , "Visual wordplay - Rankin's inspector" , "Visual type of word puzzle" .)