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I was rereading certain chapters of A Game of Thrones and stumbled upon the following quote:

The shields displayed outside each tent heralded its occupant: the silver eagle of Seagard, Bryce Caron's field of nightingales, a cluster of grapes for the Redwynes, brindled boar, red ox, burning tree, white ram, triple spiral, purple unicorn, dancing maiden, blackadder, twin towers, horned owl, and last the pure white blazons of the Kingsguard, shining like the dawn.

A Game of Thrones, Eddard VII

I wondered if there are other mentions of unicorns throughout the books. I don't remember any, but I might be mistaken. As far as I can imagine, there are three possibilities around the existence of unicorns:

  • Unicorns exist and are as common as horses and fish. This doesn't seem likely to me, since there are not mentioned as much as these animals.
  • Unicorns exist but are rare or extinct, like dragons.
  • Unicorns don't really exist, even though they are depicted on shields and sigils. People that claim they do exist have been drinking too much milk of the poppy.

So is there any mention of unicorns that confirms any of these theories?

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I think you’re missing the real story here: “purple unicorn, dancing maiden, blackadder” — does The Black Adder exist in the Game of Thrones universe?! – Paul D. Waite Jul 8 '14 at 14:03
@Paul: Of course. Along with the Jumping Jews of Jerusalem, and Morris Dancers. Baldrick and Percy Percy are missing (but I hear Darling is going to be named the new captain of the City Watch). – user24620 Jul 8 '14 at 14:38
@LordSnow: I’d pay good money to see Darling and Tyrion share screen time. It also strikes me that Lord Baelish is essentially Westeros’s Blackadder. And I like that they got Sigur Rós to play the Jumping Jews. – Paul D. Waite Jul 8 '14 at 15:15
Westeros heraldry also includes griffins (Connington), two-headed horses (Roote), mermen (Manderly), krakens (Greyjoy), leviathans (Volmark), manticores (Lorch), centaurs (Caswell), cockatrices (Gargalen) and flying pigs (Suggs). I wouldn't take that as evidence for the existence of any of those creatures. – Mike Scott Jul 8 '14 at 15:18
@MikeScott - Well to be fair manticores do exist, and krakens might be real too. – System Down Jul 8 '14 at 16:47
up vote 19 down vote accepted

A Feast for Crows

Samwell Tarly recalls having read that the Skagosi ride great shaggy unicorns to war.

Unicorn horns are amongst plunder brought from distant lands by Euron Greyjoy.

A Dance with Dragons

Jon Snow, in a wolf dream as Ghost, sees that Shaggydog has fought and killed what may be a unicorn:
A wild rain lashed down upon his black brother as he tore at the flesh of an enormous goat, washing the blood from his side where the goat’s long horn had raked him.

In the cave of the three-eyed crow Leaf tells Bran Stark that the unicorns are all but gone.

Among some of the tribute collected from the wildlings passing through the Wall is a helm made with a unicorn’s head.

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for some reason, spoiler tags do not seem to – Stefan Urziceanu Jul 8 '14 at 13:55

Unicorns are creatures that are said to have existed, but no one south of the wall knows for sure.
In A Dance with Dragons

Bran meets Leaf in the cave of the three eyed crow who tells him that unicorns still exist.

Jon also dreams that Ghost kills something that could be a unicorn. Also one wildling wears a helmet made of unicorn's head.

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We never see one firsthand, but in Chapter 3 of ADWD Jon dreams that:

A wild rain lashed down upon his black brother as he tore at the flesh of an enormous goat, washing the blood from his side where the goat's long horn had raked him.

That could be a vision of Shaggydog killing a unicorn. This is supported by Sam's mention in Chapter 15 of AFFC that the people where Shaggydog is at:

... rode great shaggy unicorns to war. Skagos meant "stone" in the Old Tongue.

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