A healthy diet will strip excess fat; but only exercise will build muscle. Most people who need to "gain weight" actually need to gain muscle - And loading up on fattier foods isn't going to help. It's very rare for a person to "need more fat."
If you transfer to a healthier diet, I doubt it would cause you to lose even more weight if you're already underweight. Just make sure you're getting enough calories so your body doesn't have to burn fat or even protein for energy. If you're undereating, no matter what diet you're on that wouldn't be healthy.
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