So I’m already happy with the exponential height fog in my level, but I want to have the fog get thicker and thicker in the areas that the player is not meant to go. So if they continue to walk in the wrong direction, they would be surrounded by fog with zero visibility. How would I accomplish this? Thanks! 
If you’re only using the Exponential Height Fog, then you’d have to script it in Blueprint by increasing density when the player enters a trigger or a volume. Or combine the height fog with a Post-Process fog effect in a Post-Process Volume.
However, if you’re using the Exponential Height Fog actor with Volumetric Fog enabled, you can increase the density through particle volumes.