You can either increase the amount of feed he gets per day, increase his forage per day or add extra fat to his diet. All three options are viable, it's just a matter of how you want to go about it.
If he's already getting a large amount of concentrate feed per day, increasing that may not be your best option as high concentrate diets increase the risk of colic and GI ulceration. But if he's only getting a small amount of concentrate per day (3-5 lbs) then increasing that is probably your easiest way to put weight on because it's available.
If he is getting a pretty good amount of concentrate everyday then increasing his forage intake would be a good place to start though this may not be possible if you are in one of the areas where hay is scarce.
If you choose to add a source of fat to the diet, you can purchase any number of the weight gain supplements on the market or you can simply start adding up to 2 cups of vegetable oil to his feed a day. You need to start slowly with adding fat as your horse's body has to adjust to the change, so it's best to start with 1/4 cup a day or less and work up over a couple of weeks. A small amount of fat provides a signficant source of digestible energy for performance or weight gain. Some people add rice bran, beet pulp, etc but you can get the same results with the vegetable oil and it doesn't require hauling an extra bag. The vegetable oil also doesn't through off the balance of nutrients in the diet like rice bran and beet pulp can. However, rice bran and beet pulp can be used so long as you take into account that the calcium to phosphorus ratio is incorrect for horses and so if you feed much of either you need to balance out the ratios.
Licensed Veterinary Technician