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Just like your eye, your camera's lens has an aperture in it that can open and close to let in more or less light. When the aperture is more open, you get shallower depth of field; when it's more closed, you get deeper depth of field. This is all explained in detail in Foundations of Photography: Exposure. Obviously, as the aperture closes, less light gets into the camera, so by default, the camera always leaves its aperture wide open so that when you look through the viewfinder you see a nice bright image. Even if you've dialed in a very small aperture for shooting, when you look through the viewfinder, you're still looking through a wide-open aperture to ensure that you can see your scene clearly.
When you finally press the Shutter button, the camera closes its iris down to your chosen aperture setting. Because the aperture in your camera is always wide open when you're looking through it, you're not necessarily seeing the true depth of field that you'll see in your final image. If you've dialed in a very deep depth of field by using a small aperture, you won't see how deep the final image will be simply by looking through the viewfinder. To help your previsualize your depth of field, your camera includes a Depth-of-Field Preview button. When you press it, the iris is closed down so that you can see the actual depth of field that will occur in your final image.
In the camera's default configuration, the Depth-of-Field Preview button is right over here, next to the lens. It's this upper button right here. Now I say default configuration because there are several other buttons you can assign to be Depth-of-Field Preview. You can make this bottom button down here. You can reassign it to the AF On button, or the Exposure Lock button. But I really like it in the default position, because when my hand is on the grip and it's in its normal hold here, I simply move my finger down here and I'm right on the Depth-of-Field Preview button.
So it's very easy to press it and get my preview. Look on the back of the camera. As I press this button, you can see the viewfinder get dimmer there. When the iris closes down, your viewfinder will possibly get very dark because there's just not as much light coming into the camera. This is why the iris was wide open in the first place, just so you can see the viewfinder. This can also make it more difficult to actually see the depth of field in your image. If you wait a moment and give your eyes time to adjust to the darker view, and if you can find a way to cup a hand over your other eye and over the viewfinder, then your eye should adjust, and you should be able to get a clear view of your scene with truer depth of field.
One more thing: the image in your viewfinder is much smaller than the image that you will most likely view on your monitor or in a print, so it's going to be harder for you to tell fine sharpness in your viewfinder. Depth-of-Field Preview doesn't give you a perfect way to gauge very fine subtle depth-of-field effects, but it should let you see if certain large things in your scene are in focus or not.
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