First, good on you for rescuing him, he sure did need it!
I guess the most obvious thing would be to have a vet look at him. Make sure how his heart, lung and eyes are, you know? It is possible the unshed winter coat is just from malnutrition but it is also quite possible he is Cushingoid (will require bloodwork) in which case you would want to know so it can be managed.
In the meantime, *to me* he does not look so emaciated that he couldn't be wormed -- there are several schools of thought on when and how to worm seriously underweight horses, though, and I would suggest finding out what your vet would recommend so that you are both on the same page. It may involve a 5-day course, or several doses repeated in a different arrangement. Don't use Quest (moxidectin) at this point. If the horse seems *really unusually* subdued, you might wait to make sure he doesn't have other issues that could complicate it.
Alfalfa sounds good. Looking at his feet I get the feeling he is a past laminitis patient and you might really want to reconsider that grass pasture. I know it's short grass but actually, ounce for ounce, that can be worse than mature taller grass. The ideal thing would definitely be to put him in a totally bare dirt pen with a big ol' net or feeder of the best alfalfa hay you can find.
Best of luck to both of you,
Pat