Background Fog

This is our scene with no fog:

Set up a 28 mm camera with the far environment range reaching past
the horizon.

Make sure you can see where the horizon line is in the camera view  ... that is what the black line represents from the camera viewport ...

We will be using Fog, not volume fog.

We need Exponential fog to show density increasing with distance ... plus optionally a gradient ramp to help us control the falloff.

Here is the ramp ... set to Solid so we can get a grip on the positioning.

The ramp was then rotated:

 

Get in there and work with those flags until you get the desired effect:

 

Finally, tint the fog with a light blue.