Our brains have a hard time with distance. If you were to look up at the sky and see a plane moving, it appears to be moving slowly, when in fact, it is moving at several hundred miles per hour. Obviously if it were close to the ground at that speed, it would appear very fast. But when it is say 40,000 feet up, it's not moving much, and so it appears far away. Now take that and go at a much bigger scale. The stars in the constellations all appear to be the same, when in fact they are not. If we were to take a spaceship and go to each star, they would appear at different distances. In effect, we sort of see a "2D" appearance in the night sky even though it isn't.
But how bright it is doesn't necessarily tell us how far away it is. For example, Deneb, in the constellation of Cygnus, is about as bright as Saturn is at minimum apparent magnitude, but Saturn is about 1 billion miles away, while Deneb is anywhere between 1,500-3,000 light years away. But the reason it is that bright despite being that far away is because it is white supergiant. It is between 55,000 and 196,000 times as luminous as the sun. If it were say 33 light years away, it would be as bright as a quarter moon. Space is so vast, it's hard for most of us to comprehend.
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