A piece in the News-Leader about unicorns led me to an interesting page which discusses, inter alia, unicorns in antiquity. An excerpt:

The unicorn does not appear in early Greek mythology, but in Greek natural history, for Greek writers on natural history were convinced of the reality of the unicorn, which they located in India, a distant and fabulous realm for them. The Encyclopædia Britannica collects classical references to unicorns: the earliest description is from Ctesias, who described in Indica white wild asses, fleet of foot, having on the forehead a horn a cubit and a half in length, colored white, red and black; from the horn were made drinking cups which were a preventive of poisoning. Aristotle must be following Ctesias when he mentions two one-horned animals, the oryx, a kind of antelope, and the so-called "Indian ass" (in Historia anim. ii. I and De part. anim. iii. 2). In Roman times Pliny's Natural History (viii: 30 and xl: 106) mentions the oryx and an Indian ox (the rhinoceros, perhaps) as one-horned beasts, as well as the Indian ass, "a very ferocious beast, similar in the rest of its body to a horse, with the head of a deer, the feet of an elephant, the tail of a boar, a deep, bellowing voice, and a single black horn, two cubits in length, standing out in the middle of its forehead." Pliny adds that "it cannot be taken alive." Aelian (De natura. anim. iii. 41; iv. 52), quoting Ctesias, adds that India produces also a one-horned horse, and says (xvi. 20) that the "monoceros" was sometimes called carcazonon, which may be a form of the Arabic "carcadn", meaning "rhinoceros". Strabo (book xv) says that in India there were one-horned horses with stag-like heads.