The Unicorn is a myth in Red Dead Redemption.
The Unicorn is most likely a Hungarian Half-bread with the addition of a horn on its forehead, and leaves a rainbow trail when it gallops.
In Red Dead Redemption: Undead Nightmare the unicorn is a tamable horse. It can only be tamed once the player has reached undeaded hunter challange rank 5 and killed the cubacapra. It is found near torquemada in mexico and the player is not alerted when it is near-by.