Horses that are underweight are a special challenge in the cold. They need hay and plenty of it, but they will need really good quality hay, probably second cut, or mixed with some legume hay. They will need the higher feed value of the better hay, as well as the benefits of the bacterial fermentation.
They might also benefit from feeding hot mashes of fermentable fiber, hay cube, wheat bran, oat bran, sugar beet pulp, some extra protein in the form of whey protein, and a feed supplement containing zinc butyrate will help their GI tracts recover and function better. A good probiotic will make a difference for them.
These horses would definitely benefit from blanketing with a suitable windproof, waterproof blanket, shelter from wind and rain/snow and peace to eat their rations
Horses recovering from starvation should not be fed much if any grains, what they need to do is the re-establish their hindgut bacterial populations, and repair their gut walls, they will do this best if fed plenty of fiber. Grains will set up undesirable populations of gut bacteria, and can lead to health problems. Feed them a good quality hay, mixed with legume hay, a fermentable fiber mash and suitable supplements.