YUP!

That is usually the best way to add scene fog IMHO.

Just render out a separate "depth" pass, or render your frames with Z depth ON to Maya .iff, or any other fomat that supports the extra 8 bit Z channel, and use those frames as your depth control layer in your comping app.

One way I do this, is to download a shader called "Yuya Depth Shader" on Highend, and apply that to your abjects in a separate file, render that, and it will give you FULL antialiasing AND Mblur if you need it also

Use that as above, and you should have better results in your post app

Good luck!