You can create these Shaders in the SHOP. Environment includes Atmosphere nodes and Background nodes.
There are two types of Atmosphere in Arnold, Fog and Atmosphere Volume. Fog simulates the effect of light scattering, which causes more distant objects to appear lower in contrast, especially in outdoor environments. Atmospheric Scattering simulates light scattered by a thin, uniform atmosphere. It produces shafts of light and volumetric shadows cast from geometric objects.
To add some atmosphere or background to a scene, first, create a Shader in the SHOP. Double click to enter the VEX Builder and Tab-type (Custom > Fog / Atmosphere Volume / Sky). Connect the output of the atmosphere nodes to the atmosphere parameter of the environment output node and the sky node to the background parameter.
Atmosphere & Background nodes connected to the OUT_environment inside an Arnold Shader Network
Simple scenes showing fog and a volumetric Spot Light with a blue Sky shader
It is not possible to render both fog and atmosphere volume in the same scene.