I encountered one on Ragnarok, freaked out tamed it and was happily riding it back to my base when a stupid Raptor decided "I'm about to ruin this man's career" and killed my Unicorn. I have yet to find another one and I have a gravestone for my lost Charlie.

I saw one right by the inlets across the river from the red obelisk when I first started as a level 1. I wasn’t equipped to capture it then obviously. By the time I did it vanished and I haven’t seen him since. :(

When I was a noob and saw this I just said meh it's just an equus now that iam here I flipping realized that it was a unicorn

It took me about 4 hours to find one. I was near the red woods and the river.

I found one by the Arctic. My base was near there and the turrets shot it and it died... fast. Never found another since