Image Effects with 2D sprites

I'm working on a 2D action platformer for my sound design portfolio and I'm wondering how I'm to achieve the effect of having a blurred/foggy background and foreground to add depth. I'm looking to do something similar to what a lot of modern 2D games are doing such as: Example. I'm currently using 2D sprites with the Sprites-Default material and the background elements are set at various Z offsets with the camera mode set to perspective. I've tried adding the Depth of Field script and the Global Fog script to the Main Camera but neither seem to have the effect I'm looking for. Is this something I need to just edit in pre-Unity (I'm doing all the art myself), something that I need to adjust using multiple cameras, or does it relate to the shader on the 2D sprites themselves?