By default Cursive will not compile Clojure namespaces as part of the build process. If you need compilation, you can enable it in Settings→Build, Execution, Deployment→Compiler→Clojure Compiler.
The most important options are the first ones - these control which (if any) namespaces will be compiled and should be self explanatory.
There are also further options for control of various aspects of the compilation process. You can choose whether your Clojure code should be compiled before or after your Java code, depending on which depends on which. You can also see reflection warnings, either only for your project code or for project dependencies as well, and you can also choose to disable locals clearing in case you're going to be debugging the code you're compiling.