There are plenty of horses and horse-ancestors in the fossil record. We would at least expect to see some horn material preserved. Failing that, there would be evidence on the skull itself due to how the attachment of the horn would leave evidence of its existence on the bone of the skull. You would probably also expect to see some horns in archaeological caches. I know they sometimes find narwhal tusks in burial sites.
Interestingly enough, there was a creature that very much looks like a unicorn, but it is a rhinoceros and not an equine.
There's a very interesting (but somewhat contrived) anthropological hypothesis that dragons are composites of various predator creatures that were a danger to our ancestors- birds of prey, great cats, and pythons:
As a kid being taught evolution, I made the natural assumption that many transitional forms of animals would be found in the fossil record in order to support the theory. However that is not the case(to put it mildly). When confronted with this fact, "scientists" created a new theory called punctuated equilibrium. what a house of cards..
Interestingly enough, there was a creature that very much looks like a unicorn, but it is a rhinoceros and not an equine.
https://en.wikipedia.org/wiki/Elasmotherium