I have a horse here atm that needs to gain weight, has put on a LOT since she arrived (was 585kg according to weight tape, but had a big wormy belly so that measurement is probably off, SHOULD be at least 620) but still has a LOT to go.
She is on a small grain feed morning and night with alkapellets (idk if you get them in the US?) and oaten chaff which is basically chopped up oaten hay, and 24/7 access to a big round haybale. Just grass hay, but good grass hay. The pasture here is GREAT for this time of year, fetlock deep and rich (it's winter in Aus and winter pasture is usually fairly ordinary). She was picking up pretty slow to start with but in the past week has just put on SO much weight and is FINALLY well-covered across her ribs... needs more on her hips and is lacking topline but she's getting there.
My gelding can be a poor keeper, he is also on a big round bale and the same rich pasture 24/7. He is in great condition at the moment on one mid-sized grain feed a day, probably 2.5-3kg of a different pelleted feed which is VERY high protein/energy/fibre and decent fat levels, plus the oaten chaff.
Both are worm-free and up to date on sand drenching (routine care here, most of my state is sandy soil so sand colic is a big problem), and both are on vit/min suppliments I have added to to cater for my property's magnesium deficiency.
If they're not gaining fast enough, ADD TO IT. Rice bran is amazing, I used a senior feed made with rice bran for my boy when he was underweight but it was too expensive to keep him on and he was too dead-headed on it - I like a bit of fire. Black sunflower seeds, the sort you feed to parrots, are also great, with the added bonus that they enhance coat colour! I have fed oils before, and I have fed coconut meal which was AMAZING for weight gain/shiny coat/protein/coat colour but my horse was too quiet on that as well.