Horses need more hay when the weather is colder - it's digesting it that keeps them warm. Most likely they didn't get enough hay to keep warm when the cold snap hit, so they burned body fat to keep warm. Those of us who keep our horses outside 24/7 know that sometimes keeping the weight on a horse can be difficult in the winter. It's not unusual for them to lose a little. Not desireable, but not unusual.
The best way to put the weight on them is to increase their hay. They will gain weight and stay warm faster. If additional hay isn't an option for whatever reason, increase the beet pulp. You can also add alfalfa pellets to their diet. The price is reasonable, the horses love it. My horses get beet pulp, alfalfa pellets, flax meal and oats. I could buy a cheaper, all in one feed, but I like mixing my own. I can adjust the amounts each individual horse gets to suit their needs.
I have to admit that our horses do get free choice hay - we feed round bales. Last year, that didn't seem to make much difference - they still lost weight. This year we are feeding our own home grown hay - it's still just prairie hay - native grass and bermuda, but the horses haven't lost any weight at all - even the skinny ones we just took in are gaining - in spite of the record cold weather we had - so they hay is probably the magic ingredient. I have my doubts about the quality of the hay we fed last year. This year I know that althought they hay is far from alfalfa quality, it's adequate for their needs.
I know I'm wandering a bit, but I think what you might try is increasing their hay. Free choice would be optimal, but even just increasing their hay by a couple of flakes would help when the weather is really cold.
Plain Old Dee, horses Dancer and Rain I believe in dragons, unicorns, good men and other mythical creatures!