how to add depth and shadow to composite?

If you would like to add shadows that you can adjust to a subject that has transparency over another layer, you can add the Drop Shadow Layer Style (double-click on the layer in the Layers panel or select the layer and go to Layer > Layer Style > Drop Shadow). You can adjust many of the settings of the drop shadow by click on it in the left of the Layer Style panel and changing the options.

If you'd like more control over the Drop Shadow layer style, then you can separate it from its layer to edit it further. To separate it, select the layer, and go to Layer > Layer Style > Create Layer. Then you can select the drop shadow layer to transform it and edit as desired without changing the original content on the layer from which it originated.

@mohamedh78426672 adding shadows to match a composited subject is better served as a separate layer and painted manually using a blend mode of multiply. The original material matters as well and both the subject and background are fairly poor quality to start with.