Source: Tafsir al-Ahlam al-Kabir (Ibn Sirin)
Fog in a dream indicates strife, confusion, and doubt in religion. Walking in it indicates delving into a matter whose outcome is unclear.
Source: Ta'tir al-Anam fi Ta'bir al-Manam (Al-Nabulsi)
Fog indicates deceit and cunning. Whoever sees the fog clear will have a hidden matter revealed to him.
Source: Al-Isharat fi Ilm al-Ibarat (Ibn Shahin)
Fog is interpreted as worry and grief. Exiting from it is relief and salvation.