I was very interested in your post re your horse that has lost weight. I am in the process of starting a business as an equine consultant and came on here to see if anyone would ever use such a person. I saw your post and couldn't help offering some advice.I have a PhD in nutrition and would like to give you some pointers to help you and your horse.
I was very pleased to see someone mention worming as this is a must do. Horses should be wormed on a 6-8 week basis and the wormers used should be rotated in order to remove all gastic parasites in their various phases of development. I am not exactly sure where you are and climate can effect when to worm for certain parasites but I would suggest using the Rotecterin wormers as they make it easy. They have a number 1 and a number 2 wormer and if you follow their guidelines you will hit most wormers. If you want more specific information on this let me know.
You should also have the horses teeth checked. Young horses are loosing teeth, new teeth are coming in and they often sugger discomfort in their mouths which can make eating feeds like hay difficult. Have your vet or equine dentist check out her teeth. In the mean time watch the horse eat ita grain and notice whether food falls out as it eats. This is called Quidding and is a sign that they need their teeth "floated" (rasped). However its not the only signal that they need their teeth looked at.
Next you need to be a little more scientific about how you are going about putting weight on this horse. Your initial post states you have changed the hay you have been feeding from square bales to round bales however you do not say what type of hay either of those bales contain. Different types of grases that make hay contain different amounts of calories so if you say switched from feeding oat hay to a grass hay at the same amount you will have significantly reduced your horses caloric intake and that would explain the weight loss. If the type of hay is the same, is hte quality the same? Eat cutting of grass creates different hay. This is why its often best to buy hay in bulk so you can maintain the quality and nutrients you are feding your horse. Make sure whatever hay you are feeding is of a green color, smells sweet and not fusty, that there is no dust shake a flake and breath in the air, does it make you cough or your nose tickle? If so don't feed it to your horse unless you soak it first. Soaking dusty hay for about 30mins causes the dust spores to expand and they will not effect your horse. However, NEVER feed mouldy hay anything that is white or black should be put in the trash.
Next look at how you are feeding your hay. Are you feeding off the ground? If so how many piles of hay are you feeding. The piles should be well out of kicking range from one horse to the next and there should always be more piles than horses. This way every horse is assured of getting his hay. I assume now you are feeding grain that you are removing this horse from the group while it eats its grain? Feeding off the ground may result in hay being wasted in the mud and less being available to the horses to eat and weight loss.
Okay lets get into what your horse actually needs. First off you need to body condition score your horse check out this website http://www.umext.maine.edu/onlinepubs/htmpubs/1010.htm
Follow the instructions and let us know what score it is. Based on the picture you linked to I would say it was about a 3 with 5-5.5 being ideal for a horse out of work. But pictures are misleading so you need to do this. Do it for all your horses because then your results will be more accurate as you will get a better feel for what they are asking (FYI your buckskin horse is under weight too based on the pictures).
In addition to body condition score you need to know how much the horse weighs. This can be done using a weight tape which you can buy at the feed store. Make sure the horse is standing on level ground with all 4 feet square. Measure around the horses girth right behind the elbow and measure as it exhales. Do this a few times to see if you are getting the same weight each time.
Once we have the horses body condition score, approx. Weight and also its height I can help you figure out what you should be feeding it. Also I need to know what you are feeding now in pounds. How many pounds of each individual grain a day and how many total pounds of pellets and hay a day. From this I can figure out what calories it is getting and from the body score etc I can figure out what it should be getting and we can go from there.
Don't change anything now but your sudden changes to alfalfa pellets and grain etc concern me given there hasn't been any consideration for how under weight the horse is and what it was already eating. There are also ways of conserving calories rather than feeding more for example putting a winter blanket on the horse will mean the horse doesn't need to spend energy keeping warm instead those same calories can be used to gain weight. But we'll see where we are and go from there.
Hope this helps let me know when you have the info and we'll get on with step 2.