Getting a skinny horse to gain weight is not a common topic for veterinarians as most horses - as well as dogs and cats - are too heavy. However, there is the occasional horse that needs to gain weight, and Kentucky Equine Research has some ideas on how to increase their weight. There are lots of reasons why a horse may be skinny including parasites, infection, cancer, dental disease, and just not getting enough good feed to eat. There are three major energy sources for horses: fiber, starch and fat. Fiber is the most important as it is the major component of grass and hay. Many horses can maintain their weight on forage alone but hard keepers generally cannot do so. We call those horses that have a difficult time keeping weight on hard keepers, in contrast to those that get fat on very little feed, which are called easy keepers. Fresh spring grass has higher digestible fiber and higher energy than does parched summer grass and grass hay that has very little stem and more leaves provides more energy than hay with a lot of stems.
Starch is the next ingredient and grain is the most common source of starch. Feeding grain is helpful in adding weight because it is more calorie dense than fibrous. However, feeding too much grain can lead to starch overload, colic and founder. Fat is an excellent energy source and has much more energy per weight than fiber or grain and is safer than feeding grain.
It is important to notice I have not included protein; although protein is important, it is a poor source of energy. So if you have a thin horse, buying a high protein feed is not going to be helpful.