I would also recommend getting your hay tested, if you can. Usually you can have your vet send in a core sample (of a few bales). We like to all think that our hay is of fabulous quality because it’s green and smells wonderful, but often times, the mineral and vitamin concentrations can be off. If you’re already feeding a high protein hay, a high protein grain is not your answer. Look for feed that is high fat and fiber, low in starches. I would hesitate to add grain to a hay diet if your hay could be enough, because too much grain can add extra energy and development of oral stereoytpies. An average rule of thumb is 2%-2.5% of body weight as a daily intake for weight gain (This is about 21 lbs of hay for a 1100 lb horse!)
If you want to try a weight gain supplement, I recommend Gleam and Gain Supreme 60. I fed a half dose to my TB mare (who usually drops 100 lb when cold weather hits) and she maintained a healthy weight all winter. Just watch the fatty acid concentrations in weight gain supplements and sugar fillers. Too much Omega-6 FAs have been linked to an increased inflammatory response.