Generally speaking, a horse is a horse is a horse... so the fact that you have what you perceive to be an underweight Welsh pony doesn't alter facts and procedures that we use with our cow ponies here in the western U.S. We have anywhere from 5 to 20 horses of mixed breeds at anyone time and overwinter them reguarly.
First, determine that the horse is in good over all health. A check of the droppings is always recommended by the "old timers" I grew up with. The horse apples should be full of undigested fiber and should be compact without being hard. A horse dropping should never be loose like a cow's. Inspect the leavings for worms or worm casings. If necessary get a vet's inspection. Someone has already mentioned teeth as a consideration.
Next, is the horse a fence or stall walker? Often, loss of weight or inability to maintain weight is due to metabolism and stress. A nervous horse will display that tendency by walking or fence post chewing.
Next, if the horse is in good health but just thin, assure the animal is getting somewhere close to 1.5% to 3.0% of its body weight in good quality forage... in this case Alfalfa is recommended versus what we call prairie hay. A horse of 1,000 pounds for example should be fed 15 pounds daily.
Next, up the animals grain allowance to around 3 pounds per feeding done at least twice a day but don't exceed 10 pounds daily.. Any good grain will help with the calorie intake, but we prefer oats. We also prefer rolled oats versus the whole grain since there is less waste. We also, especially in winter, use a prepared rolled oats mixed with molasses to keep the dust and waste down.
Contd.