If you want to look at students attending a club who belong to a cohort (E.g. Pupil Premium, SEN, EAL, FSM) you can do this via Reporting > Custom Report > New Report.
Select the aspect you want to look at from the left hand side tabs.
For this example we have used Pupil Premium which can be found under the 'Support' tab.
On the right hand side click the 'Features' tab and select Clubs.
Note: The report will show all clubs a child has attended, there're no way to filter it for a specific club. You'd need to export to Excel.
Right click the image below then 'Open image in new tab' to enlarge.
Once the report has been produced you can remove any columns you don't need and export to Excel for further amending and filtering if needed.
Note: If you want to look at multiple aspect you would need to run the report once per aspect. E.g. if you wanted to look at Pupil Premium and SEN students who attend a club you'd run the report once for Pupil Premium and then again for SEN, as selecting both would only show you children who are both PP and SEN.
See also - How can I see the percentage of students in special groups? For example EAL