unicorns were probably a species of goat that existed with one horn in prehistoric times and the collective unconscious passed it down among generations.
as for dragons, there are a few theories. one is that a dragon is the combination of all the prehistoric animals that preyed on our ancestors: snakes, giant birds, big cats, etc, passed down also in the collective unconscious. otherwise, it could have been a real animal biologically (research animal planet's special "dragons: a fantasy made real" for specifics about how the biological methods would have worked) but there is no fossil evidence....so hard to prove.
the thing with dragons is that the lore in each culture existed before they had contact with other cultures, so dragons either have to be real or a memory common to all people (before we left Africa) - but i guess it's just a mystery.
hope this helped!