You're talking about "atmospheric perspective" -- I think it's perspective -- (giving a blue hue to things in the background) as well as the focus.
Thank you veroxid and awyea123! I will probably go back and fix the mountains a bit since I might have it in my portfolio. 
If you have the time, I'd just recommend making a new picture entirely. Not because it's a "so bad you have to start from scratch" issue (don't worry, that is not the case), but because it gives you an opportunity to have even more practice.
On top of that, it gives you something to look back to in the future to see how you've improved.
10 days later
Here is a new drawing I have been working on just for fun, so some things might seem a bit random. There is still some things that I feel like I could improve, mostly the hair around the horn so it more looks like the horn is something that grows out of her head. She is trapped somewhere, maybe a prison, so the shadows across her face is from the bars.
A new character concept that I'm almost done with.
