The fog in Sea of Thieves is quite thick and difficult to see through, it can also be dangerous to sail through, particularly in a galleon with limited movement. It always exists within the world, fading in and out of existence. Its often helpful to have someone in the crows nest, looking out for any stray rocks or approaching ships. There appears to be two different types of fog within game, one is a slight fog that you can still see through, the other is a dense fog that is difficult to see in front of you.