Really gloomy, left by women without company (4)
I believe the answer is:
solo
'without company' is the definition.
(I've seen this in another clue)
'really gloomy left by women' is the wordplay.
'really' becomes 'so' (both can mean 'extremely').
'gloomy left by women' becomes 'lo' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'so'+'lo'='SOLO'
Can you help me to learn more?
(Other definitions for solo that I've seen before include "Alone - card game" , "Done by one person" , "Piece for one performer" , "Performance by one person" , "Whist variant" .)