Thanks for your feedback Manupix, you mean I should use the same sprite colors for the background for a better effect? (and less saturated I guess?) 

Nice first piece, welcome =)

Agree with Carnivac. The main issue for me is the totally different styles in almost every respect between sprite and background. Consider reusing some colors in different parts of a piece; also  consistent light source(s) would help a lot!

It's often worth taking a work in progress to the forums for some advice.  Both on here and also wayofthepixel.net which is a sort of 'sister site' to this one.  And yeah keep practicing.  :)

 Thanks Carnivac! I'll keep practicing, there's a lot of amazing art-work in here to get references and yes, improving shading and choosing the right colors are my goals right now, I'm amazed at how good color palettes are in many images I see here, hopefully, and with practice, I'll get your secrets :P 

Welcome to pixel joint. :)     There's some banding issues with this piece and the depth and shading could be improved but it's very appealing as it is and anyone who's inspired by Turrican is fine by me. :)