There are two places where you can add fog.
Using an env_fog_controller, you can decide the amount of fog present in the playable area of your map. The settings inside the entity aren't hard to figure out. You need to remember that 'Fog enabled' must be set to yes. The start and end values of the fog do exactly as you would imagine.
If you want these fog values to extend to the skybox (if you have one), you need to fill in the required fields inside the sky_camera entity. Just use the same color and start/end values of the env_fog_controller, and it will make it blend seamlessly.