I add flax to my horse's feed. It contains Omega 3 fatty acids which boost the immune system and aid in digestion. It is also very good for their coats. My vet also recommended soybean meal, but it is not readily available in my area so I haven't tried it.
I have my mare on a smartpak supplement called smart protect. She is my needy girl, if something is bound to happen it happens to her, and after a torn tendon sheath (not immunity related I know), founder, and then pigeon fever this year (which I think is immunity related) I decided it was time to add to her joint supplement.