One way to put weight on a horse is to add fat to the diet. I used to add corn oil. The problem is that Corn Oil can interfere with the absorption of Vitamin A and, perhaps, E. So you need to supplement that.. but do so conservatively as too much vitamin A can lead to a rough hair coat and brittle hooves.
E cannot be absorbed without sufficient Selenium.. but too much Selenium can be toxic (Se is a trace mineral that is defficient in some soils).
To that end I would give my hores a half cup on Corn oil in his grain and then add fortified Wheat Germ Oil for the Vitamin A and E etc.
Mares where I lived (eastern NY) had to have a shot of E-Se for breeding (30 days before breeding) and then a shot part way thru gestation and then again 30 days before foaling.