dist=MixtureDistribution[{2,.1},{MultinormalDistribution[-1 {1,1},2 IdentityMatrix[2]],MultinormalDistribution[2 {.5,.5},.01 IdentityMatrix[2]]}];
BlockRandom[SeedRandom[15];data=RandomVariate[dist,250]];

𝒟=SmoothKernelDistribution[data];

Show[Plot3D[PDF[𝒟,{x,y}],{x,-6,5},{y,-6,5},PlotRange->{{-6,5},{-6,5},All},ColorFunction->(Opacity[Rescale[#3,{0,.6},{0,1}],ColorData["DeepSeaColors"][#3]]&),Mesh->45,MeshStyle->Gray,MeshFunctions->{#3&},PlotPoints->50,ImageSize->550,ViewPoint->{Pi,-Pi,1}],ListPointPlot3D[Partition[Flatten[Transpose[{data,ConstantArray[0,Length[data]]}]],3],PlotStyle->Directive[PointSize->.0075]],AspectRatio->1,Boxed->False]