Greek character was first on return to get word of gratitude (5)
I believe the answer is:
delta
'greek character' is the definition.
(letter from the Greek alphabet)
'was first on return to get word of gratitude' is the wordplay.
'was first' becomes 'led'.
'on return' is a reversal indicator.
'to get' says to put letters next to each other.
'word of gratitude' becomes 'ta'.
'led' back-to-front is 'del'.
'del'+'ta'='DELTA'
(Other definitions for delta that I've seen before include "Type of wing" , "Mouth of, eg, the Nile" , "Greek character" , "Comms code for 'd'" , "See Greek" .)