Fish caught in unhappy setting (4)
I believe the answer is:
scad
'fish' is the definition.
(scad is a kind of fish)
'caught in unhappy setting' is the wordplay.
I cannot quite understand how this works, but
'caught' could be 'c' (cricket abbreviation) and 'c' is located in the answer.
'unhappy' could be 'sad' (associated in meaning) and 'sad' is present in the leftover letters.
This accounts for all the letters.
This may be the basis of the clue (or it may be nonsense).
(Other definitions for scad that I've seen before include "Jack" , "A lot of money for American" , "fish" .)