The sky looks blue because air molecules scatter blue sunlight more strongly than red sunlight. Some of that scattered blue light reaches your eyes from directions all across the sky.

Sunlight contains a range of visible wavelengths. Blue light has a shorter wavelength than red light. When sunlight passes through the atmosphere, molecules scatter the shorter wavelengths more strongly. This is called Rayleigh scattering.

When the sun is low, its light travels through more atmosphere before reaching you. Much of the blue light is scattered out of the direct path. More orange and red light remains in the light reaching you from near the sun.