This effect is available in the Detailed view of PhotoRendering Settings for the CineRender engine.
Environment fog fills the entire screen, stretching to infinity. Distance refers to the fog’s intensity by specifying the distance over which a light beam will lose its intensity completely. As the light loses intensity, the fog color is added. If, for example, you have entered a value of 500 for Distance, a light beam that starts off with 100% intensity will reduce to 20% after traveling 400 units; at the end of a further 100 units, the light will have faded out completely, giving way to the fog color.
Beams that penetrate the fog beyond the limit defined in Distance are absorbed completely by the fog color — if you enable environment fog, you cannot see a sky or a background image.
Use this setting to determine whether or not existing Sky Objects or backgrounds should be affected by the fog. If this setting is not active, fog will affect only normal object geometry, and the sky or background will be visible, as if no fog were present.