Puffed, say, and downhearted (4)
I believe the answer is:
blue
'downhearted' is the definition.
(thesaurus)
'puffed say' is the wordplay.
'puffed' becomes 'blew' (I've seen this before).
'say' shows a homophone (sound like).
'blew' sounds like 'BLUE'.
'and' acts as a link.
(Other definitions for blue that I've seen before include "Such humour < makes conservative" , "gloomy" , "Sad; university sportsman" , "Dispirited in cerulean way" , "despondent" .)