Underweight affects immune system:

Carbohydrates. Have good amounts of carbohydrates. You can select complex carbohydrates like whole cereals, pulses and legumes. Avoid excessive intake of fiber as fiber can also cause binding of the minerals. Have fruits that are rich in carbohydrates. You can have bananas and mangoes as these are energy dense foods. Select foods that are high in energy density as such foods can add to the calories in your diet.
Protein: Have good amount of protein. You need to have protein for muscle development and improvement of the immune system. Select protein rich foods like pulses, legumes, eggs, milk, lean meat and poultry. Increase the protein intake according to your weight.
Fats: You can have good amount of fat. However consuming any type of fat can be dangerous. Reduce the intake of saturated fats.