Not to say this is what is wrong with your horse, but this sounds a lot like what my stallion was doing. He was not much on eating all of his feed and he picked at hay. Would not hold a pound of weight and was eating...6 pounds of omolene 200 a day along with 1 ounce of cococsoya, 4 ounces of weight builder, and 2 scoops of super 14! This is a 220lb miniature horse! He should not eat that much! Yet, not a pound of improvement and he did not get this way slowly it was a very very very fast decline in weight and condition. I found out he had ulcers and then knew I needed to get him away from grain. I found a good ration balancer and feed hay and now he will gain weight like nothing else, and the ulcer is healed! I am feeding Tribute Essential K (I do not know how available this stuff is outside of Ohio) and good hay 2x a day and have had no problems.
Not saying this is the problem, but something to take into considerations if a vet visit is made...
You know how to make a miniature horse even smaller? Leave them in the dryer a little longer!
"Don't ever regret something that once made you smile"