1) First open your image in a new Photoshop document. I've chosen this picture with the Wall Street's bull.
2) Press CTRL+J to make a copy of this layer (in case something goes wrong and you need the original image).
Select the Blur Tool and using a strength of 20% start click&draging over the objects that are far away from the camera. Do this multiple times until you reach the foreground objects in the photo (more blur = more depth)
Here I've changed this layer blending mode to "Difference" so that you can see the afected areas (using the blur tool).
Whiter= more blur
And here is the blured layer (normal mode):
3) To increase the depth effect select the Dodge Tool with Range: "Highlights" and Exposure: 50% and dodge over the foreground objects.
In this example here is the afected area:
And the resulted image:
4) In this step you have to select the Burn Tool (Range: Shadows, Exposure: 30%) and burn the most distant objects from the camera.
5) Duplicate this layer and apply Filter -> Blur -> Radil Blur (Amout:36, Method:Zoom, Quality: Best). Now grab the Eraser Tool (E) and set it's Flow to 70% and Size to about 185px. Start erasing this layer where the foreground objects are, keeping only a small part of this layer for the final outcome.
6) This final step is optional and shows how to simply add a light HDR toning to the image. Press SHIFT+CTRL+N to create a New Layer and go to Image->Apply Image (or you can simply merge your 2 layers and duplicate the resulting one). Now simply change this layer mode to Overlay and press SHIFT+CTRL+U to desaturate. Using again the Eraser Tool(E) erase the parts covering the foreground objects.
Here's the final outcome: