My Thoroughbred won't put on weight!!!
I agree--cut back on his grain. Try rice bran pellets. I had an Arab who looked just like your horse does. Not exactly what you'd call 'skinny,' but his hip bones looked like your horse's do, and I was desperate to get a bit of weight on him, but until he was 6 or 7, it just didn't happen despite my best efforts. That was some time ago, however, and I was not aware of the benefits of rice bran (versus grain which as other posters have pointed out is hard on the hindgut) for weight gain. Oil is also good, but my horse like yours was picky and wouldn't eat it. Bet he'd LOVE rice bran pellets. It does come in a bran, too, but I have found the pellets are generally more palatable to most horses. Let us know how he does--he is GORGEOUS and very healthy looking. Better a little thin, than too, fat, too!