To add depth you need to work on your atmospheric perspective. This means the farther back your distance is colors will be less brite, less intense, will start to move into the blue/grey range. You will have less detail, less sharp edges, less focus. The eye is a magnificent machine but even it has it's limitations. Heat, moisture, airborne particles and distance will cause the eye to see less of anything the further it recedes. All you have to do now is to remember these things and practice pushing your distance in your paintings.
This painting I've done was just painted from a basic pencil thumbnail sketch I did on a scrap piece of paper with a drafting pencil. There are no color notes or actual picture to work from because I know what it will look like before I start the painting. It's a good thing to get into the habit of seeing your painting, visualising it, before you actually paint it. Then you just paint what you see in your head. The better you visualise it the better you will paint it.
Here is my pencil sketch.....
It's very simple and of no particular place. I can see my sky and tree colors as well as the foreground so this sketch is more a map of where to put my lines on my canvas. I'll add my sky working my way down to the trees. At the trees I will add some very light yellow ochre suggesting the haze you would see closer to the land.
At this point I want to add my distant mountains which will be blue. I will then add some of my "grey" mud to some white paint and then paint that into the base of the mountains to add more "atmospheric haze" to them. This gives the effect of distant mountains by the blueing of their color and hazy filtered light/color at their base....all of this adds to the illusion of distance.
Here you see the blue of the mountains blocked in. Before I leave this step I will also take a clean brush and drag just a bit of sky color along the top line of the mountains...this softens that edge...remember? Less sharp edges as they recede.
My mud mix kept in a jar for later uses....What is it??? After you clean your brushes in a jar long enough you end up with a thick mud of paint at the bottom of your jar. I periodically scrape it into this jar for adding grey to my paint mixes...when I paint plein air I will use a tube of Paynes Grey but in the studio I use this leftover paint.
Here is the painting with my mountains done, my distant and foreground trees added....this is basically the blocked in stage and I will start tweaking these parts once they are all in place.
Now the rest of the painting is blocked in. After this I took a brush rinsed in turpentine and wiped out the paint for my trail. I then painted in a mix of white/yellow ochre and ultramarine blue for the trail.
Trail "wiped in"
Once the trail was painted in I darkened my foreground grasses on either side and began to work my grasses and edges of the trail. In the end this is what the painting looked like.
It's all in stages. Very light or faint background work...nice mid value colors for the midground and strong darks in the foreground...much sharper detail and edges closer up and soft brushwork in the distance. Paint what your eyes can see...the exaggrate that and psuh it as far as you want to go with it. The early tendancy I think is to not push it as much so keep working at it and push a little harder each time...go lighter where you need it and darker where you need it...softer brushwork and stronger brushwork. Don't sweat it if you don't get the results you want...just start another painting and keep your mind and eye in control of that brush and paint.
"Carrizo Plain Springtime"
"Caliente Mountains Afternoon"
See that cloud? Do you realize that cloud runs across the valley which means it was at least 5 miles long!
"Carrizo Plain in Spring"
This Easter morning I headed up into Azusa canyon to take some reference photos of morning light and it's effect on the canyon walls. I wanted to get shots of the pale filtered light and then try variations of that in paintings. This one is my first from that trip and I pushed the pale light that would recede on more distant background mountains. If you look at my ref you can see that the pale light was darker and really made the foreground hillside foliage contrast better. On lightening the background hills I lost some of that contrast...but that's ok, this was about pushing that pale light, not contrast. 
And here is the finished painting of mine...
"Azusa Canyon Wash"
Here is the finished piece below 
Spring brings the California poppies and Lupine. The Figuroa mountains are a close drive and I went up there the previous Monday and Wednesday taking photos for reference material and also scoping out some painting locations for future plein air work. As you can see the poppies and lupine were out in force in spots right along the road.
I started my painting during the show and pretty much finished it. When I brought it home I put in the poppies and lupine. People come up to talk and I needed to work out show so I couldn't finish it there. Anyway, shows are a fun time to visit with fellow artsts and relax a little from the painting chores in the studio. Here is my finished painting. The lupine and poppies were on my mind since seeing them so it was oln yfitting to add them in this scene. Mine are toned down a bit since I like subtle color work anyway. I'm happy with it. 
"Valley Poppies"
After I was happy with the sketch I then blocked in my colors for the sky and clouds and then began to blend all of that with a fan brush until it looked the way I wanted. I painted around the helcopter and men on the line below. Sorry for the glare on these early photos...too busy painting to worry about lighting.
I then began to paint in my darks and the grey areas of the helicopter. My oranges would be blended into these colors in areas. 
After that I began to paint in the rest of the helicopter paying attention to my edges. The Coast Guard wants work the resembles their equipment accurately but there is room to not have hard edges and I could have gone softer there if I chose. The back wheels looked a little low so I will paint over them and move them higher later.
Here you can see those wheels painted out and waiting for the new wheels to be painted in. You can see the area left unpainted for the men on the cable...I left them last so I could adjust their position with where they should be under the winch since most of my outlined drawing of them was painted over by the sky blending. After the helicopter was done they were added last and this is the finished result.....
The blurred motion look to the blades was created by painting in some of my dark mix and waiting for that paint to set up to a tacky state. Then I used a dry brush to feather the paint into what you see here. This scene was in late afteroon light...almost twilight which gave that sky such wonderful colors.