Wild dog is timid at first but returns to make appearance at last (6)
I believe the answer is:
coyote
'wild dog' is the definition.
(I've seen this before)
'returns to make appearance at last' is the wordplay.
'returns' becomes 'coy' (I can't justify this - if you can you should give a lot more credence to this answer).
'make' indicates an anagram.
'at last' indicates one should take the final letters.
The last letter of 'appearance' is 'e'.
'to' anagrammed gives 'ot'.
'coy'+'ot'+'e'='COYOTE'
'is timid at first but' acts as a link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for coyote that I've seen before include "Beast" , "Confines" , "Wolf-like wild dog" , "Wolf-like animal" , "US wild dog" .)