If you've only recently got him, then it's possible he's still skinny from before you had him and is starting to gain weight back. But if you've had him for more than a few months, his sides shouldn't appear caved in like that. If it's in a tank that's only a month old (in your profile), then it's pretty clear that your tank is not mature enough to support his needs (which is why it's not recommended that they go in tanks that are less than a year old).
Sometimes though, if you get them skinny, there isn't anything you can do to help them. I bought a mandarin off of someone that had been keeping it in a brand new 12 gallon nanocube and had been starving it for 4 months. This thing was basically a fish head, no body, it was sooo skinny. I don't think it was able to recover once I added it to my tank because I never saw it again.