There are all sorts of reasons why a horse which does not have a history of feed deprivation can nevertheless be underweight.
The first step on the road to encouraging weight gain should be checking that the horse is receiving enough calories, and getting a veterinarian to check for any underlying problems like gastric ulcers and other digestive conditions that may be causing weight loss.
It's also wise to ensure your underweight horse has regular dental checks and that you are practicing good parasite control.
If all else fails there is a wide range of commercially produced supplements available to increase body weight and improve overall condition, most of them also packed with amino acids to encourage muscle growth.
You can choose from among the variety of equine weight gain feed and supplements.