Start with asking a vet, be sure there is not other going on that needs addressing, like teeth problems or organs failing, liver a common cause.
If vet agrees, add alfalfa hay.
That is the simplest way to add the right kind of protein profile in large amounts.
Generally that is what helps best, if it is well tolerated by the individual horse that needs weight, especially older horses that need better quality proteins than younger horses can get by without.
All other supplementation should be after the basics are covered and using alfalfa will do that.