(Quest to find a unicorn, 'Creature of Legend,' can be found by reading Soran's Journal at the Arcanaeum.
You may even find the rare unicorn brought back from dead, to right a wrong of the past. Use a hostler's map to find these animals in the wild and mount them, and try not to get bucked! Once tamed, you can register them at the nearest stable and customize their saddles, as well as the saddles of any other horse you own.
Official Summary Creation Club The horses of Skyrim are hardy and strong, and taming them requires grit and patience.