This from an online encyclopedia here
A cave painting in Lascaux, France depicts an animal with two straight horns emerging from its forehead. The simple perspective of the painting makes these two horns appear to be a single straight horn; since the species of the figure is otherwise unknown, it has received the moniker "the Unicorn". There have been unconfirmed reports of aboriginal paintings of unicorns at Namaqualand in southern Africa. A passage of Bruce Chatwin's travel journal In Patagonia (1977) relates Chatwin's meeting a South American scientist who believed that unicorns were among South America's extinct megafauna of the Late Pleistocene, and that they were hunted out of existence by man in the 5th or 6th millennium BC. He told Chatwin, who later sought them out, about two aboriginal cave paintings of "unicorns" at Lago Posadas (Cerro de los Indios). Such possibilities, unconfirmed by fossils, would not have affected European legends.