The url package does linebreaks automatically [in long URL strings], but in the footnote it won't do it.
The main issue -- not touched on by the previously-posted answers -- is that the \url
macro is "fragile" (in the LaTeX-specific sense of the word). That's why typesetting URL strings -- especially long URL strings -- in footnotes can be tricky.
For just such cases, the user guide of the url
package recommends the "defined-URL" approach, as it is "robust" -- again, the LaTeX-specific sense of the word. Use the \urldef
macro to create a defined URL.

\documentclass{article}
\usepackage[hyphens,spaces,obeyspaces]{url}
\urldef{\footurl}\url{http://www.this-is-a-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-very-long.url/}
\usepackage[colorlinks]{hyperref} % optional
\begin{document}
\footnote{\footurl} % use the "defined URL" in the argument of "\footnote"
\end{document}
\url
does a good job in breaking the URL; this particular example can't be broken, because the hyphen is not a permissible point. Can you show the real URL?