It's not related to the lights in your scene. The key thing it depends on is the distance between your camera and each object being rendered. You need to set the max and min distances in the atmosphere node so that they bracket the objects in your scene. Anything closer than the min distance won't get any depth cue effect, anything beyond the max distance will get the full effect. So you want most, if not all, of the objects in the scene to be between those two points.

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