I don't know if I qualify to answer this because I'm not rail thin, but I've never been overweight. My BMI is <20 and I've never weighed more than 10 pounds more than I do right now.
Compared to people 100 years ago I'm perfectly average, with plenty of meat on my bones. I recently visited Taiwan, and I couldn't believe how different it was there, nearly everyone was thin. I wear a 2 or a 0 here in the US, in Taiwan I tried in dresses and the shop clerk brought me a XXL to try on because "Americans are big" (her words) and I could have probably gone down a size, but the XXL was only a little bit loose! In the US I'm used to people calling me "tiny," "skinny," "thin" or saying I eat like a mouse, but in Taiwan on more than one occasion I ordered double portions of drinks or food items because one portion felt like a snack. An average sized American could easily be the fattest person basically everywhere they go there.
That said, I found out recently that I'm thinner than 90% of women my age and height in the US.
My best friend and boyfriend are both very thin. I have to admit when I met both of them I myself thought that they were naturally skinny, and everyone else thinks they are and says so often, that it isn't fair that they can eat so much and stay thin.
It's all a lie. All of it.
My best friend goes on binges when she eats with friends because she never eats. Then she gains weight fast, but because she doesn't like fat people and hates how it looks she will go days without eating to make up for it. Her strategy is just to not eat, but then this provokes a binge when she goes out and can't avoid food, which starts the cycle all over again. To be clear, she is not anorexic or anything, her bmi is within the healthy range and she isn't trying to lose weight, just maintain.
My boyfriend on the other hand does not eat large quantites of food, ever, but he does eat junk food like doughnuts, so people think he can eat whatever he wants, and before I moved in with him I thought so too. But it turns out at home he hardly ever eats. He is an incredibly picky eater, he is basically grossed out by most food. He curls his nose at everything I eat, and will only eat a small handful of foods: doughnuts, cheesey puffs, salads, macaroni, that's basically it. He also works out and is a tall guy. He doesn't binge eat like my best friend because he doesn't starve himself, but he doesn't eat much.
Both of them are SUPER aware of their weight and weight themselves constantly, and take immediate action if they go up 3 pounds on the scale. For my boyfriend this means salads and exercise, for my best friend this means no food at all.
Even though my BMI is almost exactly the same as my friend's, no one ever says I am "naturally thin." People constantly ask her how she is so skinny, but no one asks me because it is obvious in my case. I eat almost exclusively healthy foods, I never skip meals, I work out nearly every day, I eat "like a mouse," I stop eating when I'm no longer hungry (NOT when I am full, if I feel full I've already eaten too much), I graze (snack) often, I indulge very rarely and make smart choices on what I indulge in when I do, abd like my friend and bf I keep track of my weight and adjust as appropriate when I've had too much Indian food and the scale is creeping up. I use MyFitnessPal and track everything meticulously when I need to drop a few pounds. I also try to make sure I get plenty of water every day, enough protein and fat. My family has a lot of obesity and diabetes, and I've had moderate blood sugar problems since I was little, so I avoid sugar like the plague and am very aware of my blood sugar. I have a small healthy snack before I head to the cafeteria or a restaurant so I don't make poor choices out of hunger. I never, ever, ever skip breakfast, but I do keep breakfast very light (a piece of fruit + no sugar added yogurt). I keep 100 calorie sugar free protein drinks in the fridge just in case I wake up late so I can at least get some protein and vitamins in if a real breakfast isn't possible. I've found cutting out beverages is the easiest way to drop a few pounds when I need to, since it doesn't affect your hunger at all since the drinks are just added calories, just drink water and coffee only. If you have a desk job, get up every half hour or so to get a cup of water so you're not seated for too long. Go on hikes with a friend instead of meeting up at the cafe. When you feel hungry, don't panic. Take a deep breath, destress. Never eat if you're not hungry, but don't let yourself get more than a little bit hungry.