Either feed him more at a time, feed him grain for lunch as well as breakfast and dinner.
Soaked beetpulp and more grain have done the trick for me
There is a weight gain supplement
As long as your horse is simply underweight with no serious health issues, you can try adding a small amount of rice bran oil in their grain. When you do this, less grain is required for healthy weight gain. However, if your horse shows any signs of an allergy to the oil, stop using it right away. You may also want to consult your vet before using this method.
If nothing is wrong, weight builder and purina strategy works really well but it did make my Arabian hot but she gets hot easily.
Get a blood check from your vet and see if your horse has any dificencies.