I've been around the block a time or two when it comes to bringing horses from underweight, to healthy weight. Not mine, but a quite a few horses from some of the farms I worked at that came from bad situations.
1.) Vet Check Up; call the vet out to get a full check up to make sure nothing internally could be causing the problem, such as ulcers.
2.) Teeth Rasping; an underweight horse, or any horse for that matter, needs teeth at least checked once a year-this could be a case of just not being able to chew food properly, or teeth hurting when trying to eat.
3.) Worming; worms are one of the number one causes for emaciation, horses should be wormed at least every 6-8 weeks.
4.) Ease into feeding: any change in diet should be made progressively
5.) Senior Feed: any underweight horse can benefit from senior feed
6.) Rice Bran Oil
7.) Beet Pulp
8.) Weight Building Supplements
9.) Hay-alfalfa and grass mix seems to do just fine
10.) Go by horses weight for amount of feed given
11.) Corn Oil: I would get a vet okay, some say its not good for horses and others would disagree
12.) Alfalfa Cubes
P.S. All opinions for someone looking to put weight on their horse can comment below, also this thread is not made to start an agrument(: