The fact is, when you gaze toward any horizon, you’re looking through
more air than when you gaze overhead. It’s this greater quantity of air that causes oddly shaped suns and moons. At zenith (straight up) the atmosphere will be at its thinnest. That’s why professional astronomers prefer to observe their objects of interest as high up on the sky as possible (and as their telescopes allow), to diminish the effects of any atmospheric distortion lower in the sky.
No matter where you are on Earth, as you look toward a horizon, you’re looking through more atmosphere than when you look overhead. Image via Phil Plait.