Legends of a single-horned goat or horse date back as far as the Bible. The prophet Daniel tells (8:5): “Behold, a male goat came from the west across the face of the whole earth, without touching the ground, and it had a conspicuous horn between its eyes.” In the Torah, God is compared to a re’em, which is usually understood to be a single-horned animal–and which many Torah commentators have understood to mean a unicorn.
In the description of the Tabernacle (Exodus 31), some of the structure’s coverings called for “skins of a tahash“–an animal described in the Talmud (Shabbat 28a) as a rainbow-colored animal whose appearance brings joy to onlookers. The Midrash Tanhuma expands on this description, and Rabbi Yehudah notes that it had a single horn on its forehead.
In the remarkable book Sacred Monsters, Rabbi Natan Slifkin (who bills himself as the “Zoo Rabbi”) finds sources that point variously to the re’em and the tahash being a rhinoceros, a kind of an ox, and the sea-animal known as a narwhal. Admittedly, it’s still really cool to imagine that the re’em could be some fantastic or undiscovered creature. “But,” writes Slifkin, “the truth is not always exciting.”