The magical being known as a unicorn has sadly never been discovered outside of fairytales.
A skull fossil found in the Pavlodar region of Kazakhstan showed that a creature named "Elasmotherium sibiricum" roamed the Earth. The skull did indeed have one horn, but was more closely related to a rhinoceros than a horse.
Marco Polo also misnamed a rhinoceros a unicorn in his journal. He described them as having “..hair like that of a buffalo, feet like those of an elephant, and a horn in the middle of the forehead, which is black and very thick.”
Semantics may also have played a part in the making of the myth. A mistranslation of Hebrew re’em, (a one-horned creature) would become, unicornos in Latin, and finally, plain “unicorn” in the King James Bible.