I would have to say that a good, balanced (this is the key--lots of people aren't feeding a balanced diet) is the basis for maintaining good immune system function. Add to that not over-stressing a horse ---long trailer rides, over-work, etc.
There are lots of supplements out there that are claimed to help the immune system, but I would be cautious about which ones I spend my money on. I have a friend who is an herbalist and have had her look at some of the different products on the market. Most of them have had very little in them that is actually geared towards immune system function.
Licensed Veterinary Technician