The most common and most likely answer to this crossword clue is the 9 letter word MAJORETTE
I've seen this crossword clue in The Daily Telegraph
M
A
J
O
R
E
T
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E
Buddy explains!
The straight part
We know that "girl leading march" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case girl leading march = majorette.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does MAJORETTE mean?
MAJORETTE noun- A dancer who twirls and performs stunts with a lightweight baton, whether as a solo, in a group of majorettes, or in the company of a marching band.