Few mythological animals have as many religious undertones as unicorns, Aslan the lion notwithstanding. The trend reached its apex during the Middle Ages, when Jesus himself was commonly depicted as, well, whatever happened to pass for a unicorn in the artist's opinion:
Erfurt Cathedral via Peter
Hold on, guys, that's clearly just a dog with a carrot strapped to its head.
This is due to a series of wacky translation errors in the Bible itself (in other news, there are unicorns in the Bible). A major problem with the holy book has always been that its texts have been translated into a multitude of languages, and the translators have often been forced to take liberties that sometimes turn the translated text into a weird Hollywood adaptation of the original. That's how a simple mistranslation gave Moses a pair of horns, and that's how Jesus wound up spending a few hundred years as every preteen girl's favorite fictional animal.
Here's how it happened: The Greek translators of the Hebrew Bible were having a hard time identifying an animal the original text called a "reem." They knew that the animal had horns but couldn't be a goat. So, possibly because the workday was almost over and the happy hour was just about to start, they just translated it into "monoceros," one-horn. Sadly, the world would never experience the awesomeness of Rhino Jesus, as the Greek monoceros was further translated to the Latin "unicornis." The artists took one look at that shit and, because babies and bearded dudes get really boring to paint after a while, declared: "Yep, Jesus is now a unicorn, too."
St Crucis church via Peter
The implications for the whole Nativity story are best left unexplored.
In the 20th century, paleontologists discovered that a reem was, in fact, an ox, and had jack shit to do with Jesus -- the writers mostly used the animal as a symbol of God's strength, stuff like that. However, by that point the unicorn already boasted a hefty CV as the savior of humanity in religious art. Usually, it is pictured lounging around with Virgin Mary, sometimes with an entourage ...
St. Severi church via Peter
"And lo did he fart out fortune cookie fortunes for those that would believe."