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 Shadershader 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 atmosphere_volume & background -> OUT_environment inside an Arnold Shader Network