You can create these Shaders in the SHOP. Environment includes Atmosphere nodes and Background nodes.
There are 2 types of Atmosphere in Arnold, Fog and Atmospheric Scattering. 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 / Atmospheric Scattering / 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 volume scattering in the same scene.