Unicorns are similar to the other Non-evolvable pets (Pu pet, Fox pet, Yun Sheng Beast, Alpaca) in the sense they start from level 60 and have no skills. They will also take up a pet slot, have loyalty, and can be ridden. They are obtainable from the Unicorn Pet Lucky Box.
Like Moon Wolves, Unicorns can "evolve" to become True Unicorns and Ultimate Unicorns. True Unicorns require two level 65 Unicorns while Ultimate Unicorns require two level 70 True Unicorns. The primary difference is in their appearance, where they will sprout wings and begin to glow. You will need the True (300 SP) and Ultimate (400 SP) Unicorn Alchemy Scrolls from the Item mall to do this, based on their respective kind. Actual Alchemy or High level alchemy is not required for this.