I mostly just keep feeding my horses their normal concentrate ration, but do start giving them hay in their paddock (I aim to put out just a little more than they can eat by the time I will come back for the next feeding) as the grass in the pasture becomes less lush. Even when nice hay is available they do still do a fair bit of grazing on the winter pasture as long as it isn't covered in ice or snow.
However, when it gets unusually cold for my area or it stays cold for a week or more at a time, I will often add an extra feeding of beet pulp (usually a couple pounds of dry beet pulp mixed with a couple of handfuls of a textured sweet feed to make it more palatable for my picky horse) soaked in hot water. I just portion it out equally in rubber feed pans and put it their paddock and let them eat it for the extra fiber (to keep warm) and for peace of mind to know that they are ingesting some water as one of mine can be finicky about drinking in the colder weather. I'm lucky in that my harder keeping horse is also the dominant one, so if I do it this way he usually ends up eating about 3/4 of what I put out, which works out just the way I would like it to!
My horses foxhunt all winter, so I will also often offer a small extra beet pulp mash after they get home after hunting, mainly to ensure the finicky one is taking in some water. And after a long hunt, I figure that a few extra calories aren't a bad thing either. From a fiber point of view, you could basically accomplish the same thing by offering more hay. However, finicky horse likes his hot meals in the winter and since he's a bit of a hard keeper (young, big, still growing TB), I cater to him a bit.
ETA: Beet pulp is a regular part of my horses' diets, so they are used to it - I don't just all of a sudden start feeding pounds of it once the temperature drops.