Long ago I was puzzled at references to unicorns in the Bible, and after thinking about it for a while, decided that the descriptions that accompanied unicorns -- a massive, powerful creature that was shaped like a bull and associated with the tribe of Ephraim -- made more sense applied to the rhinocerous. I held this as a private theory for years, and occasionally saw vague references that confirmed my hunch.
I decided that the unicorn and the lion, symbols long associated with Great Britain, showing prominently on flags and other references to the Crown, were not only references to Scotland and England, but also were references to Ephraim and Judah (from whom the kings of England are descended to this day). I figured the transformation from the bull-shape to horse-shape happened sometime during the middle ages when people lost track of the shape and someone drew a horse-shaped unicorn and everyone copied that, leading to the legend of the unicorn as we know it today.
Recently, I was thumbing through a 1611 King James Bible, and right there, in the margin, the footnote indicated that a reference to a unicorn was indeed a reference to a rhinocerous. So, culturally, we knew this 400 years ago, but seem to have lost track of it somewhere along the way.
I took a picture of the page, you can see it on the lower left:
