I'm pretty new to this program, but I'm assuming that you'd make sure that both the new object and the player sprite are on the same layer.
Then when you create this new object in the event sheet, set Z-order "move to bottom" action to that object.
If you are making these instances in the layout view, then Construct 2 is a bit lacking. You'll have to set the Z-order "move to bottom" to all instances of those object in the on start of layout event.
Someone can correct me if I'm wrong.