If you go walking around the factory, ensure you have ____________ clothing on.

The correct choice is "protective" because it is an adjective that describes the type of clothing that is suitable for safety in potentially hazardous environments such as a factory. "Protective clothing" refers to garments specifically designed to shield individuals from various risks, such as chemical exposure, sharp objects, or electrical hazards, making it essential when walking around a factory.

The other options, while related to the concept of safety, do not fit grammatically or contextually in this sentence. "Protection" is a noun and would not be appropriate to describe clothing. "Protect" is a verb and does not work as a descriptor for the clothing either. "Protectively," an adverb, would modify a verb rather than describe clothing itself. Thus, "protective" is the only option that correctly fulfills the requirement for an adjective in this context.