The fog details are done by a applying a subtle cloud / fog texture to a single 2 polygon plane then placing that plane between objects and such. I think there’s also some smarter shader at play on those effects though, since it doesn’t look like the texture’s clipping into objects very sharply.
I probably won’t recommend these techniques in a 3D environment that the player can freely explore, they look good when the camera is stationary but won’t look good when the camera’s moving.