Some game spaces are fully enclosed within a 3D environment built and themed for the game. But often fully enclosed environments require alot of processing power due to increased polygon counts. If you're looking to keep the frame rate high and reduce demand on player's CPUs then a Skybox will be essential. A skybox being a single texture that wraps around the game space creating the illusion of an all-encompassing background.
You can source a skybox online (example site here), capture one yourself (guide here) or make one from scratch in your image editor of choice. For this step I'll be going over the custom skybox I made using Photoshop.
Several assets described will be available for you to download here if you want a hand getting started.