Hi Hannah, I feed my skinny riding school horses packed hay, mash with beet and alfalfa (sold as old horse mash) and I add some sunflower oil to the mash. The mash they get twice a day, once in the morning/noon and once in the evening. For the rest they stay in the field, I just take them in 2 hours earlier than the rest so they can eat their hay.
To make sure the horses take in all the nutrients always start with hay or grass for an hour or two, and then give hard feed, mash and other extra food. If feeding higher quality and quantity food doesn't help I would get a vet's opinion. Good luck!
A good quality hay is the first step in the right direction. If gaining weight is extreamlu difficult I'd recommend a high percentage Alfalfa twice a day if you would simply like the horse to put on a little more poundage I'd recommend alfalfa in the evening and either a Timothy or grass in the morning. Their are also toms of fattening supliments out there but remember to do your reasearch and your vet can be a big help at this point.