Initially blue, in the sense of depression (5)
I believe the answer is:
basin
'sense of depression' is the definition.
'basin' can be an answer for 'depression' (basin is a kind of depression). I'm not sure about the 'sense of' bit.
'initially blue in the' is the wordplay.
'initially' suggests taking the first letters.
'in the' becomes 'asin' (I can't justify this - if you can you should give a lot more credence to this answer).
The first letter of 'blue' is 'b'.
'b'+'asin'='BASIN'
Can you help me to learn more?
(Other definitions for basin that I've seen before include "Kitchen vessel" , "requirement for cleansing" , "Depression in the earth's surface" , "Round open dish for washing" , "container" .)