Knowing what I know now, I would always try an antihistamine trial first (with your vet’s knowledge). His reaction to this should give you some clues about what you’re dealing with, either allergy or other.
If an antihistamine trial suggests allergies, then I would get an allergy test done (skin test or the blood test). Allergies can be cumulative, so you might also find other allergies (like, just a random example, a mild food allergy)–if you could possibly treat any of those (e.g. removing a food trigger), then the overall itchiness would go down, and he would be able to deal with the gnats better.
They also have a specific allergy shots for the gnats, it doesn’t work for everyone but if it does work then it’s actually causing your horse to become less allergic over time, rather than just treating the symptoms. You can double up with antihistamines, especially at first.
EquiSpot will help with gnats if applied every two weeks, you can use a brush to apply it along the belly line. Do a spot test first since it’s pretty strong and not all horses can tolerate it.