Knight in doleful song expressing sorrow (6)
I believe the answer is:
monody
'song expressing sorrow' is the definition.
(mournful song in Greek tragedies)
'knight in doleful' is the wordplay.
'knight' becomes 'n' (chess).
'in' means one lot of letters goes inside another.
'doleful' becomes 'moody'.
'n' put into 'moody' is 'MONODY'.
(Other definitions for monody that I've seen before include "elegy" , "musical style" , "kind of poem" , "Plainchant, perhaps" , "lament" .)