Welcome to the forum.
Do you know how the aperture of the lens works? And how aperture affects Depth of Field?
The aperture is the hole through which light passes through the lens. It is adjustable and measured in F stops. A big F number (F22) is a smaller opening and a small F number (F2.8 ) is a bigger opening. The bigger the opening (small F number) the less DOF you will have. The smaller the opening (high F number), the more DOF you will have.
When you are looking through your camera's viewfinder & lens...the aperture is always open as big as possible, to let in the most light. Because you are looking through the biggest opening, you are seeing the shallowest DOF...so things that may look out of focus in the view finder, may actually be in focus in the photo.
The DOF preview button stops down the aperture in the lens so that you can see the actual DOF that the photo will have. Now the smaller the aperture is set to stop down, there will be less light that is coming through the lens...so the viewfinder will appear darker. Let your eye adjust to the darker image and closely inspect the areas that are in or out of focus. It takes getting used to.
Of course with digital, you could simply take the photo and then look at the image on the screen to see the actual DOF.
Hope this helped.