Many people think that unicorns are related to horses - that they are simply horses with a horn.
Observations in the field reveal that the two animals are quite unrelated species. Look at their hooves.
While the horse has a single hoof on each foot, the unicorn has a cloven hoof, suggesting it is more closely related to the cow. Or possibly the goat - check the beard. It's much easier to imagine a two-horned species evolving a single-horned version, than a non-horned species growing one, isn't it?
This also explains the rarity of unicorns. Unlike horses, they are vulnerable to foot-and-mouth disease, and are often believed to be extinct.
Apologies for the quality of the photos - obviously, they were taken under dangerous conditions.