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 wordplay.
'start and end of' suggests removing the centre (only the first and last letter remain).
'in' means one lot of letters goes inside another.
'cathedral' becomes 'ely' (ely is a cathedral city in cambridgeshire).
'evensong' with its middle taken out is 'eg'.
'eg' going inside 'ely' is 'ELEGY'.
'at' is the link.
(Other definitions for elegy that I've seen before include "Reflective poem", "Mournful verse", "Poem lamenting the dead", "Poem of mourning", "Lamenting poem", "Mournful work", "Sorrowful poem/song", "Sad words", "Plaintive poem" and "A sorrowful poem like Gray's".)