Adding fog to your scene is a great way to create depth.
To start make sure there are no objects selected by pressing anywhere on the viewport.
Then go to the Fog panel on the right sidebar and enable it.
Using the same color as the background is the best way to achieve the effect of actual fog.
There's also the option to change the color for more creative freedom.
The Near and Far values are used to change the depth of the Fog. The closer both are to each other the thicker the Fog transition is.