I rescued a horse a month ago, and he was under weight too and very lethargic. He has been putting on weight and I've slowly been switching him over to his new feed as well as a supplement and he has more energy now. That said, and like the others said, he will fill out more with some weight and muscles. He is very cute though!
Also, maybe he wasn't worked with or treated properly before he came to you, so maybe that is why he is so stubborn. The patience will pay off