This is not fog. Nor is it a low-lying cloud. It's smoke.
Here's a pulled-back view that gives you a better idea of its scope.
The smoke is billowing up over the Bradshaw Mountains from a controlled burn in the Prescott National Forest south of Prescott. The Forest Service hopes, by doing these burns, to prevent an out-of-control wildfire. The forest comes right up to Prescott and could do serious damage.
A few years ago, just such a fire scared the daylights out of a lot of people in Prescott and several outlying homes were lost.
So, in spite of a certain number of people who complain about the smoke drifting into town every time there is a controlled burn, it's probably a pretty good idea.