I personally think horses need some type of roughage to keep their digestive track working well, but the next best thing would be pellets. I know here in AZ, every feed store I've found sells alfalfa pellets. Some have grain with them, others are straight alfalfa, others mixed with bermuda. So that is what I would feed if I couldn't get hay for some reason. It basically IS hay, it's just ground up and processed into pellets and is usually sold in 50 or 80 lb. bags. They might have added vitamins and minerals too, I would guess it depends on what kind you get.
I know what the hay situations can be like here in AZ. Mostly you are lucky if you can find alfalfa. Bermuda sometimes, and other kinds of hay almost never! I generally feed alfalfa. My horses always have good feet, muscle and overall body condition.
You could also top-dress the pellets with a little drizzle of vegetable oil for extra calories and coat condition.
Do you have a mineral block? I don't mean a salt block, although that is very important too. But there are some blocks that are just mineral blocks for horses. I think the one I buy is called Purina Nature's Essential's 12:12. It costs around $25, but lasts a long time, and then you can be sure he isn't lacking anything.
So, based on my limited knowledge of your situation, I would say get him a mineral block, a salt block, and some type of alfalfa pellets or cubes. Top dress is a drizzle of vegetable oil (just the kind you get at Walmart) over the pellets. This is basically what I do and my horses are FAT with good coats and hooves. Don't be afraid to give him alfalfa. Everyone I know feeds it- it's practically all we can get and the horses do well on it.
If he still looks poor, after doing that, then maybe you aren't feeding enough?
I feed twice a day, but three times is even better if you are home in the middle of the day.