Sweet feed, corn, alfalfa (probably spelled that wrong) , and giving them wormer (every once in a while) usually helps us with that. Also, some supplements help, but ask your vet first as Sophisticated said
You can put your horse on a suppliment to help it gain weight, but ask your vet first. Good luck!
I love CocoSoya Oil and Cool Calories 100. I've used both of these supplements on all of my horses and they work well (plus they keep your horse's coat nice and shiny!)
Make sure they are on a really good grass turn out, if your farm has an old hay field out that in the for a couple hours a day. In terms of grain high fat medium fibre is really good.