The simplest way is to use the Environment Object. (Sfumato, one-dimensional perspective)
Here is an example:
If you like to work more in “post”, after the rendering, you might set up a Depth Pass. This pass can be then used in an adjustment layer to correct the results accordingly. Render this pass in a higher resolution, as depth can’t have anti Alias, as that would introduce artifacts.
Here is a little sketch, very quick and super simple, adjust it to your needs of course
Let me know if you have more questions, I’m happy to look into it.