The spikey intense orange objects are pushing in front of everything. In visual arts, distance is indicated by:
- Paler colors. Just changing your intense orange/rust color to be less saturated will help loads.
- Lighter colors. blending object's natural color with sky color or with a bland light color such as light gray or a pale sky blue. Related to this: if any objects are black or very dark, they'll pop up nicely in front of a light background. Light objects may need some help such as strong shading, a few dark features, or outlining.
- Out of focus (slightly), assuming the viewer is meant to focus on nearby objects. For a realistic scene, only slightly out of focus. But consider artistic style - you could use severe blurring. I've seen games like that, and it's kinda fun visually, but it'll work only if you also use paler/lighter colors.
- Loss of detail. Even if the background features are in focus, less contrast of and even elimination of fine-scale details such as cracks, bumps, texture.
- The opposite of loss of detail for distance objects: sharpen edges, fine-scale detail texture of nearby objects. You could even add outlining using an edge detector. In animations from old-time saturday morning cartoons to the newest anime, it is often the case that foreground characters have strong well-modulated linework while background art is colored regions only, no special treatment of boundaries. Of course, this involves choice of artistic style.
- Perspective clues such as long or meandering objects that progress from far to near, such as a river or pipeline or a row of buildings or towers heading away, shrinking with distance. But without the other cues, such a thing may not "sit" right in the apparent 3D space.
For far away objects which will always be shown far away, production effort may be minimized by making the original image assets pale, light, and blurred appropriately. Then no extra run-time compositing effort will be needed.
Although you're working in digital arts, there's a ton of accumulated wisdom in the traditional media world of fine art. I visit wetcanvas.com for that, and also http://graphicdesign.stackexchange.com/ because I like the SE way of doing Q&A.