A unicorn is a mythical creature, similar to a horse, with a single spiral horn growing out of its forehead. In the Middle Ages, the unicorn appeared in paintings as a symbol of purity. Many people believed an animal like this really lived. In the Bible, most verses that refer to the unicorn emphasize its great strength (Num. 23:22; 24:8; Deut. 33:17). The biblical writer may have had the aurochs in mind. This horned wild ox was so large and powerful that no one could control or tame it (Job 39:9-10; Ps. 22:21; 92:10; Is. 34:7).
There is only this animal mentioned in the Bible, the name of which begins with U, and of this I cannot give you a picture, because no person now knows what sort of an animal it was. Some suppose it was a kind of wild goat; others think that it was a sort of deer; and others, that it was what we call the rhinoceros. Perhaps you have seen pictures with the name of the unicorn under them; but you must remember that those who made them only guessed it was so, and that no person can certainly tell what it was.
[Cook, Scripture Alphabet of Animals]