Mourning song at start and end of evensong in cathedral (5)
I believe the answer is:
Here is my best explanation:
'mourning song' is the definition.
'start and end of evensong in cathedral' is the subsidiary indication.
'start and end of' suggests removing the centre.
'in' indicates putting letters inside.
'cathedral' becomes 'ely' (ely is a cathedral city in cambridgeshire).
'evensong' with its centre removed is 'eg'.
'eg' put into 'ely' is 'elegy'.
'at' is the link.
(Other definitions for elegy that I've seen before include "Reflective poem", "Mournful song or poem", "Mournful verse", "Sorrowful poem/song", "Poem as Gray's in churchyard", "A sorrowful poem - Gray wrote a famous one", "Poem of lament", "Mournful work", "Work by Gray?" and "Poem lamenting the dead".)