Our human body is categorized into 3 body types. Vaata / Pitta / Kapha . Usually vaata predominant people are skinny. In order to gain weight, you first have to decrease those factors which cause imbalance of vaata dosha ( for example too much travelling, eating refrigerated stuff, staying in cold, lack of proper sleep, waking up late nights, spicy food, tastes like bitter ( coffee ,tea) & a stressful job all increase vaata dosha.
On the other hand milk products( especially cow ) A regular self oil massage with sesame oil ( abhyanga ) is very helpful in decreasing Imbalance of Vaata Dosha.
Doing self abhyanga daily with ashwagandha oil also increases muscle significantly.
Protein powders like whey, soy, casein etc are hard on stomach,
liver , kidneys & other organs. You might end up in trouble if you don't set your Vaata dosha & start taking supplements. Go for a full body check up to know any deficiencies & consult a good Ayurvedic practitioner.
Good luck!