[Pitch]

Now we are going to duplicate the layer and texture it. So hit Ctrl + J to dupicate the layer. Right click on the new layer, goto Layer Properties and name it Texture

Once duplicated, we can now give it a bit of depth.

Now we need to select the asteroid and the asteroid only.

The best way to do this is take the magic wand (W) and select the black area. Make sure that the texture area is selected and use the magic wand to select the black area in the back ground. Use a very low tolerance of about 2-3 to make sure we don't select a bit of our asteroid by mistake. Once selcted you should have everything selected except your asteroid. Well... This is no good, so hit Ctrl + Shift + I to invert the selection and now just the asteroid is selected.

With the asteroid selected, goto Filter > Stylize > Emboss.

With the Emboss window open, you can play around with the numbers until you get the desired look.

I used
Angle=0
Height=3
Amount=500

It should look something like this.