The simplest and most effective way to create depth in a mix is with volume. In short, louder sounds appear closer, quieter sounds create a sense of distance. As an approximate guide: to double the distance of a sound, decrease its volume by 6dB.
How do you make something sound far away in a mix?
A lower mix, or more dry, sounds closer, higher mix or more wet sounds farther away. If you want to create a better illusion of distance, playing with the pre-delay setting for the reverb can help.
How do you delay depth?
Delay can be used to create depth in a recording in a similar fashion to reverb. A slap-back delay, greater than 130ms, causes the signal to sound as if it's in a small room – greater delay lengths can also evoke a sense of depth. Delay can also be used to create a sense of depth.