To find a unicorn you must complete the Undead Hunter Challenges and The Four Horses of the Apocalypse.
Once you have completed those head to east Mexico. The unicorn can be found in the field northwest of Torquemada.
When looking at the map zoomed out it's the spot with the three horse icons.
You will not get the same notice as you did with the other Mythical Creatures.
The Unicorn is very easy to spot though since it leaves a rainbow trail while running and a cloud of butterflies when it's at a standstill.
You have to break the Unicorn once you find it to unlock the achievement.