Question: I thought it would be so because the mass inside the earth would attract us however they would be at a larger distance than masses on the surface of the earth.

For example, consider having a tall building near the object. Would the effective force vector of the object be pointing into the center of the earth or deviated?

Answer: 
A [large skyscraper's mass](https://www.quora.com/How-much-does-a-skyscraper-weigh):

$$M=2.5\times 10^{8}\,\mathrm{kg}$$ 

For the benefit of the doubt, let's assume a centre-of-mass at the ground, and that you are standing at the building's wall, possibly 50 metres away.

$$r=50\,\mathrm{m}$$

The skyscrapers gravity on a $m=75\,\mathrm{kg}$ person is:

$$F\_{g,\text{skyscraper}}=G\frac{mM}{r^2}=0.0005\,\mathrm N$$

Compare this with the $F\_{g,\text{earth}}=mg=735\,\mathrm N$ gravity from Earth. The skyscraper is adding a perpendicular component, so the total force of gravity on the person is a vector, which now is slightly turned:

$$F\_g=\begin{pmatrix}735\\0.0005\end{pmatrix}\,\mathrm N$$

The angle in degrees between this vector $\begin{pmatrix}735\\0.0005\end{pmatrix}\,\mathrm N$ and the original vector $\begin{pmatrix}735\\0\end{pmatrix}\,\mathrm N$ is:

$$\theta=3.9\times 10^{-5} ~^\circ$$

This is a very, very small deflection. Just the fact that gravity from Earth does not pull directly to the centre due to uneven density, centrifugal effects, altitude etc., might far outweigh this tiny deflection.
The assumption that the force of gravity points to the center of the earth is based upon the assumption that its center of mass is the center of a sphere, I.e., the earth is spherical and of uniform density. 

But since the earth is flatter (not a perfect sphere) there are some deviations in the direction of gravity because of that. Variations at the surface (mountain ranges vs plains near sea level) means it’s mass is not perfectly spherically symmetric and the distance to the center varies slightly. Those factors can theoretically result in very slight deviations in the magnitude and direction of gravity.

Hope this helps.